realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear …