The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR …) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and … the recently published VKOSPI (in Korea) - and their stock market indices, the authors find an asymmetric volatility …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX …-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the … unconditional correlation term structure of VIX future implied by the model based on the stationary distribution of state variables …

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock's upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …