liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

squared GOP volatility then follows a square root process of dimension four. …

principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew …, and 60% of the implied volatility term structure across equities. Furthermore, the first principal component has a 92 …% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the …

asset is subject to discontinuous regime shifts in its mean and/or volatility which follow a Markov chain. The model allows …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …