We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data … we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump … components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive …

Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio … managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH … findings of the study show that volatility clustering increases the asymmetric comportment of daily stock market returns. We …

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE …-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE … volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

The IPO filing volume is positively related to changes in market volatility, especially when market returns are at … valuations. Creating this option is attractive not only when market valuations rise but also when volatility increases, and the … effect of volatility is more pronounced when market returns are neither high nor low. We therefore identify a distinct type …

dealers. Concerns that soaring options trading could spark incremental volatility of international agricultural commodity … options trading does not have a volatility increasing effect. …

We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small … interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on …. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal …

construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by … million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months … also examine the relationship between bitcoin's 30-day realised variance, volatility index and variance risk premium with …

and other market outcomes such as volatility, liquidity, price efficiency and price discovery. Despite commonly held …