incorporating contemporary macroeconomic variables, market liberalization steps and political risk changes is used to explain hyper …-return periods. Hyper-return periods are shown to be associated with political risk changes and with liberalization steps, whereas … risk and liberalization steps, the latter variables play a predominant role. Cet article propose une analyse des périodes d …

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the … stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …

of realized volatility and interval and density forecasts can be extracted from strangles and risk-reversals. The purpose … of this paper is to assess the quality of such volatility, interval and density forecasts. We analyze option … find that the OTC implied volatilities explain a much larger share of the variation in realized volatility than has been …