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

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … is not uniform across the distributionof the volatility-price return pairs using quantile regressions. We examine …

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index …

volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the … unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are … leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

reinforcing price pressures due to media activity in the previous days. Finally, we find that even though volatility is higher for … the set of days where there is media coverage, this hides important dynamics between media coverage and volatility. The … volatility of market adjusted returns is negatively correlated with the media coverage, both up and down media coverage. Markets …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …