This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible …

analysis for long-memory stochastic volatility models, testing for independence between functional time series, statistical …

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 …

derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics …, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951 … limiting distribution. In case of a Kronecker covariance matrix, the rank statistic simplifies to the canonical correlation …

-synchronous trading partially offset each other. In a volatility timing strategy for S\\&P500, bond and gold futures we find that the co …

-related Credit Default Swaps (CDS) indexes, the (expected equity volatility) VIX index and the (swaption expected volatility) SMOVE …