date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts … implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation … stochastic shocks incorporated in the SVXmodels. The out-of-sample volatility forecasts are evaluated against dailysquared …

We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …