This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …

basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … accounting, improve price and volatility discovery, and expand international risk intermediation activities …

categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility …Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …