of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

-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 …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

, volatility, and spikes. While price trends are important in the long term, volatility and spikes are more important in the short … volatility. An assessment of the costs of price volatility has shown that the existing literature follows a conventional marginal …. Measuring and estimating the cost of food price volatility should factor in ongoing processes such as economic growth and …