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 …

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 …

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six … international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized …

-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term …. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration …

importance of foreign shocks in explaining inflation volatility has become more important in the last twenty years …

Purpose - This paper aims to explore the extreme effect of crude oil price fluctuations and its volatility on the …. Findings - The paper can summarize results as following: changes in oil price and its volatility have an opposite effect for … each oil-export and oil-import countries; for the former, changes in oil prices have a positive impact but the volatility a …