improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

Using a laboratory experiment, we investigate whether contagion can emerge between two risky assets, even when their …