allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for … model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …