liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … 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-free implied volatility surfaces for options on single …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

provide strong property rights protection. Using a novel credit default swaps (CDS) data set covering government and corporate … corporate credit risks (all else equal, a 100 basis point increase in the sovereign CDS spread leads to an increase in corporate … CDS spreads of 71 basis points); 2) the sovereign-corporate relation varies across corporations, with state …

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …

linear dynamics. In our empirical application, we examine the importance of the credit default swap market relative to the …