empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how … how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in …

-return relation, but the importance of the risk-return relation fluctuates with the level of information flow, measured by volatility …. During low-volatility periods, market-wide persistence in returns increases, leading to a failure of the pure risk …

integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

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

The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR … terms of various error criteria. The results suggest that volatility clustering, asymmetry and nonlinearity characteristics …

-factor model to demonstrate that the size effect exists in EREITs market. We investigate time-varying volatility for size effect by … from volatility the bond market term spread and the volatility of short-term interest rates. The unexpected shock from … fluctuation of the bond market term spread lowers the volatility of the size premia on EREITs return. We also find the big …

, despite high distress-risk and high growth-leverage, firms in financial distress have low returns from high volatility that …-distress have high volatility that leads to low returns is managerial risk-shifting that takes form as unexpectedly high capital …