autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

volatility and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in …

heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven bypast trading …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …