of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …