from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …

Does the structure of banking markets affect macroeconomic volatility and, if yes, is this link different in low … markets affects macroeconomic volatility. Our research has three main findings. First, we study the relevance of granular … effects: if the degree of market concentration in the banking sector is sufficiently high, idiosyncratic volatility at the …

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …

rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …