This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

financial markets as the literature has here-to-fore been focused too narrowly on Gaussian variance as a measure of volatility …

We investigate properties of the volatility estimator, which is proportional to the square of oscillations of the … simulations that the proposed volatility estimator by the bridge is much more efficient than the well-known Parkinson and Garman …–Class estimators. We also discuss possible usages of the estimators for estimation of integrated volatility. …

industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this … volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

The main problem in the combination of volatility forecasts is that the volatility cannot be directly observed and …. A common approach is to use the squared returns but these offer a noisy measure of the volatility and, in many settings … by referring to the concept of realized volatility even if, at very high frequencies, micro-structure market frictions …

the intense volatility of returns. After examining the normality of daily returns in Beirut Stock Exchange (BSE) from June … fat tails and volatility clustering being persistent. Furthermore, the asymmetric EGARCH-GED model is found to adequately … fit the data and incorporate the leverage effect. Surprisingly, good news generates higher volatility than bad news which …

several specifications approach the empirically observed volatility, although none of the models generates enough persistence … its volatility. …