In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility …

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

A variety of historical-volatility, peer-historical-volatility, implied-volatility and blended estimators of stock … price volatility are developed and tested for a group of large U.S. companies over roughly a thirty-year window. Longer …-year realized volatility. Inclusion of implied volatility into forecasts at low weightings is found to have little discernible …