We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross …-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out …-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself …

We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and …

The development of technology and the globalization of financial markets have increased the volatility in financial …, can use in estimating the BIST 100 Index return volatility. For this purpose, ARCH and GARCH models, as symmetric models … among related models in revealing BIST 100 Index return volatility. …