Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six … international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized …

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that … the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous volatility …

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated … from 1973 to 2008. The key findings are two-fold. In the UK, whilst some industries are more sensitive to market volatility … volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting …

stock returns and volatility, and to rank these markets with respect to volatility. For this purpose, six markets are … dipicting high correlations and a heteroskedastic patron (volatility) among the markets over the sample tenure which then … reveals that KSE has 66.23% volatility and 0.10% average return followed by Sensex, which has 63.39% volatility and 0 …

's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … metrics: volatility, Sharpe ratio, certainty-equivalent return, turnover and opportunity cost. For minimum-variance portfolios … formed using analyst forecasts, although the volatility of the portfolios increase, the Sharpe ratios substantially increase …

volatility, jumps, and leverage effects to satisfactorily describe the daily stock price dynamics. …

volatility across di.erent time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …