measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust … hedging performance and volatility risk in option markets: application to Standard and Poorś 500 and Taiwan index options … risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling …

the tourism industry, are two of the most important industries in the world today in terms of employment and generating …

the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

. The evolutionarymodel explains stylized facts, such as fat tails,volatility clustering and long memory, of real financial …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …