Executive Summary.Volatility estimation is an integral part of institutional finance with applications in risk management and portfolio allocation. Real estate investment trust volatility is examined ...

In this paper, we consider the deterministic trend model where the error process is allowed to be weakly or strongly correlated and subject to non-stationary ...

Although intraday volatility has been studied extensively for many asset classes, there are still important questions to be answered: Is the unconditional mean diurnal profile time-invariant? Does ...

Implied volatility (IV) is a market's forecast that is often used to help traders determine the correct trading strategies ...

Intercontinental Exchange Inc. has agreed to acquire several fixed-income volatility indices from Bank of America, including the Merrill Lynch Option Volatility Estimate (MOVE) index. “The MOVE Index ...

Realized Volatility is a key financial metric that measures the historical price fluctuations of an asset, typically a stock, currency, or commodity, over a specific period. Unlike implied volatility, ...

ATLANTA & NEW YORK--(BUSINESS WIRE)-- Intercontinental Exchange, Inc. (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, today ...

A common narrative to global markets is that volatility has massively increased. Market participants like to claim a new regime of increased volatility with each and every new negative macro event.

The Treasury market has cooled off substantially since the epic sell-off and attendant rise in yields that sent volatility soaring to multi-year highs in May and June as traders have left Wall Street ...