moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of …The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options …' knowledge, there is no other study which discusses the integration of volatility in the three markets. Moreover, the finding of …

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks …

Much empirical research has been conducted concerning the effect of short-selling on market quality and volatility … (given the same market capitalization). Allowing for short-selling also decreases (increases) intraday volatility for less … significant difference in liquidity (intraday volatility) between stocks that are allowed for short-selling and those that are not …

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE …-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE … volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This …

volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks …

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data … we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump … components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive …

First Version: 03/11/2015This Version: 04/01/2016We expand the literature of volatility and Value-at-Risk forecasting … of oil price returns by comparing the recently proposed Mixture Memory GARCH (MMGARCH) model to other discrete volatility … MMGARCH and find regimes that differ in volatility level as well as shock persistence. Furthermore, we observe dissimilar …