We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …

check the properties of option pricing models with different assumptions concerning the volatility process (historical … pricing and to check the robustness of our results. The Black model with implied volatility (BIV) comes as the best model and … the realized volatility model as the worst one. Moreover, we do not see any advantage of much complex and time …

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

This paper studies the intraday volatility of European government bonds under the framework of the multiplicative … component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility … debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a …