Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric … pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel … volatilities constructed from high frequency data from stock and foreign exchange markets, we find evidence that volatility …

simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether …-free implied vola-tility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options …