The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model based on … returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003 …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. As such …

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In … both the conditional and stochastic volatility literature, there has been some confusion between the definitions of … volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative …

penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …