volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial … between the VIX spot and the implied volatility of standard & Poor’s 500 options, suggesting a volatility feedback effect. The …