squared GOP volatility then follows a square root process of dimension four. …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

This paper investigates informed trading on stock volatility in the option market. Using a unique data set from the … Chicago Board Options Exchange, we construct non-market maker net demand for stock volatility from the trading volume of … individual equity options. We find that this volatility demand is informative about the future realized volatility of underlying …

Black/Scholes model (1973), (ii) the jump-diffusion model by Merton (1976), (iii) Heston's stochastic volatility model (1993 …), and (iv) Bates' stochastic volatility jump-diffusion model (1996) across different maturity and moneyness categories …

related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are … implied volatility also follows some deterministic patterns over the trading day. Second we identify jumps in DAX returns. On … distributed throughout the trading day. Third we estimate the impact of a price jump on volatility. We consider different proxies …