In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the …

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the … of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the … highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …