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 …

The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the … previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature …, we show evidence that VIX is generally above the 30-day rolling volatility giving rise to the volatility premium, so that …

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 …

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 …

targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target … yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these …