decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals … hits lead changes in market volatility. I show that a regressor based on search engine data can provide a meaningful …

recently. - Horizontal dependence of volatility: Volatility is not constant, it is mean-reverting and it tends to cluster … (meaning that high volatility is likely to be followed by high volatility periods, and vice-versa). Moreover, volatility … theory - stated differently, the returns distribution has fat tails. Moreover, shocks have a strong impact on volatility and …

combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on … robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility …

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …