volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

Recently several large volatility matrix estimation procedures have been developed for factor-based Ito processes whose … integrated volatility matrix consists of low-rank and sparse matrices. Their performance depends on the accuracy of input … volatility matrix estimators. When estimating co-volatilities based on high-frequency data, one of the crucial challenges is non …

(prescribed, for instance, by the “broken windows” theory of crime) should not be credited with reducing the violent crime rate …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially … where the concept of volatility estimators (consistent, unbiased and the most efficient) is of crucial concern. Our … intention was to find the best estimator of true volatility taking into account the latest investigations in finance literature …

individual stocks. We provide an inference framework for all components of the model, including idiosyncratic volatility and …