volatility indices. The models include linear, quadratic and nonlinear drift specifications with affine, constant elasticity of …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly … realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a …-free volatility expectations, as well as those generated by a high-frequency realized volatility model. In particular, this measure …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …

Using a multi-regime forecasting model, we investigate the impact of COVID-19 pandemic on market volatility. We show … volatility and the GJR-GARCH volatility in global equity markets. We estimate realized volatilities using intraday 5-minute …