significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …

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 …

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

domestic volatility after good shocks but a bad hedge after crashes …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …