measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …