market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our …

-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state but disappears during … show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility … feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we … variation. The leverage effect is separated into continuous and discontinuous effects, and past volatility is separated into …

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

stochastic volatility model. It reviews the important related concepts, gives informal derivations of the methods and can be …

We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Leverage and volatility feedback effects of the S&P 500 price and volatility dynamics are … continuous volatility. Granted that jumps in both return and volatility are important components for generating the two effects …