observed volatility of private equity returns is unrealistically low because the recorded returns of private equity are based … the observed volatility. As an alternative to observed volatility some investors have argued that private equity … volatility should be estimated as leveraged public equity volatility, because private equity companies are more highly levered …

For nearly every major stock market there exist equity and implied volatility indices. These play important roles … the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices …

realized covariance (RCOV), the proxy that generally provides a consistent estimate of the unobserved volatility. The aim of …The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging … research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing …

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 …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

Modeling volatility, or predictable changes over time and space in a variable, is crucial in the natural and social … sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without … volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification …

covariance matrix and the results obtained for the proportion of failure and the dynamic quantile test of Engle and Manganelli … (2004), show evidence in favor of the model of Conditional Constant Correlation …