of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using … a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after … 1997 but the volatility persistence also increased. That means that there is a greater likelihood of high volatility days …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …