measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models …. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

volatility dynamics of the cryptocurrency market, realized volatility measures computed from different frames (1m, 5m, 15m, 30m …, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …