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

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 …

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 …

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of … associated bond options. Recent nonparametric statistical techniques are used to separate realized volatility into its continuous …

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. …