This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …