This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

financial markets as the literature has here-to-fore been focused too narrowly on Gaussian variance as a measure of volatility …

We investigate properties of the volatility estimator, which is proportional to the square of oscillations of the … simulations that the proposed volatility estimator by the bridge is much more efficient than the well-known Parkinson and Garman …–Class estimators. We also discuss possible usages of the estimators for estimation of integrated volatility. …

industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this … volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a … the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To …

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …