This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

With the fragile recovery of world economy and increasing financial uncertainty, global
capital allocations and risk management become more sensitive to the risk spillover and …

The frequent occurrence of financial crises has made the dynamic linkage between
international financial markets an important research topic. In the past, scholars mostly …

This study develops a one-month forward-looking natural gas volatility (NGVX), based on a
state-preference framework. Both in-sample and out-of-sample forecasting results indicate …

Abstract Using Bakshi et al.(2000), and Bakshi and Kapadia's (2003) methodology, this
paper studies the Chinese equity index options market that has been developing since …

Abstract Using the Arrow–Debreu state‐contingent pricing methodology, this paper derives
a US government bond market volatility index (GBVX). I show that GBVX is an unbiased …

This paper attempts to extend the approach of quantitative investment and provide investors
with suggestions about volatility timing. Based on the volatility-managed portfolios strategy …

We examine the performance of investments made by private credit fund managers into over
440 private companies in 13 Asian countries from 2001 to 2015. We show that the returns to …

This study examines information and volatility linkages across energy and financial markets.
In a world economy so connected, the impacts of climate change are likely to be transmitted …