volatilities. The 16 daily implied volatility indices comprise the implied volatility from various financial assets, such as … directional connectedness underscores that the CBOE Euro Currency Volatility, CBOE Crude Oil Volatility, CBOE Gold Volatility …, Hang Seng Index (HSI) and CAC 40 VIX are net persistent receivers whereas CBOE Russell 2000 Volatility, CBOE NASDAQ 100 …

qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …

The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …