Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …

monetaryregime chosen, though not necessarily on monetary shocks. Wegive a simple account of exchange rate volatility in terms … ofmonetary policy rules, we provide an explanation of the relationbetween nominal exchange rate volatility and …

limit for their portfolio volatility that must not be exceeded.Ensuring compliance with this risk limit at any point in time … is essentially complicated bytwo factors: First, portfolio volatility permanently changes over time. Second, there is … aconsiderable time lag between two consecutive estimations of portfolio volatility due to arestricted capacity of the employed …

stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …

-BEKK model intro-duced by Engle and Kroner (1995) is employed to analyze the volatility transmissionstructure. We identify the … is observed.Furthermore we detect unidirectional volatility transmission from the futures to thespot market at highest …

information-driven and noise-inducedvolatilities.We nd that all volatility components reveal distinct dynamics and are …. Moreover, news-aected responsesin all volatility components are inuenced by order ow imbalances. …

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … volatility increases.[...] …