This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock … (CBOE) implied (or expected) volatility index (VIX). Intraday high-frequency observations data have become readily available …

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional …

volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator … of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm …

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the … demonstrate that the relationship between the volatility and market return as quantified by Ordinary Least Square (OLS) regression … is not uniform across the distribution of the volatility-price return pairs using quantile regressions. We examine the …

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … is not uniform across the distributionof the volatility-price return pairs using quantile regressions. We examine …