Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …

estimation and forecast of financial volatility. The research, chapter by chapter is summarized below. Chapter 1 provides … ; volatility asymmetry ; mixed frequency model ; conditional correlation ; risk evaluation … empirical evidence on univariate realized volatility forecasting in relation to asymmetries present in the dynamics of both …