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 … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in …

regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index … exist and the volatility pattern across days of the week and months of the year are statistically different. The return …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …