The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market …

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk … premium. We empirically investigate the relationship between volatility of volatility and the equity risk premium, and the … relationship between the variance risk premium and the equity risk premium. We find that volatility of volatility alone explains 5 …

We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Leverage and volatility feedback effects of the S&P 500 price and volatility dynamics are … continuous volatility. Granted that jumps in both return and volatility are important components for generating the two effects …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we … variation. The leverage effect is separated into continuous and discontinuous effects, and past volatility is separated into …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …