In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility …

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …