frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

market information can be used to improve realized volatility forecasts in a large cross-section of international equity … markets. We use volatility data for the U.S. and 17 foreign equity markets from the Oxford Man Institute's realized library … and augment for each foreign equity market our benchmark HAR model with U.S. equity market volatility information. We show …

and idiosynchratic volatility. Our application to monthly, 1979-2008 U.S. data for stock, bond, and publicly traded real …

and idiosynchratic volatility. Our application to monthly, 1979-2008 U.S. data for stock, bond, and publicly traded real … ; Stochastic volatility ; Linear factor models …

modeling the latent process followed by risk exposures and idiosyncratic volatility. Our application to monthly, 1979-2008 U …

between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR … processes, in terms of mean, volatility, correlation, can be compared. In the econometric analyses, we estimate both a …

specifications (CCC, DCC and ADCC) to investigate the return and volatility spillovers among price and return series. We use rolling … and volatility connectedness between China and U.S. clean energy stock markets …