which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and … yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of … imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of … time-varying volatility of returns, but also can accommodate the asymmetric shape of conditional distribution of the …

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high … importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can …