theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

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 … with theory and that the estimates are highly significant both statistically and economically. The explanatory power of the … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default …

revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast …

; the point estimates suggest reductions in forecast loss at some nowcast horizons, but with considerable variability. …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … remarkably simple volatility extraction filter based on a polynomial lag structure of implied volatilities. The bivariate …

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and …-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several … intensity jump processes which feature correlation between the stochastic volatility and jump component. We also allow for and …