Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period … VAR models for the volatilities can exhibit the nature of the change in volatility.In a heat wave, the conditional …

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility …. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long …-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

Several novel large volatility matrix estimation methods have been developed based on the high-frequency financial data … matrix and facilitates estimation of large volatility matrices. However, for predicting future volatility matrices, these …. They often employ the approximate factor model that leads to a low-rank plus sparse structure for the integrated volatility …