...Panos Fousekis Purpose This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes. Design/methodology/approach The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian...

...Min Xu; Hong Xie; Yuehua Wu Purpose The purpose of this paper is to analyze different behaviors between long-term options’ implied volatilities and realized volatilities. Design/methodology/approach This paper uses a widely adopted short interest rate model that describes a stochastic process...