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 …

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …Financial market spillovers around the globeThis paper investigates the transmission of return and volatility … contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms …

to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

With the recent availability of high-frequency Financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …