This article empirically investigates the volatility spillover of stock returns from the market to disaggregated … from 1973 to 2008. The key findings are two-fold. In the UK, whilst some industries are more sensitive to market volatility … volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting …

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 …

stock returns and volatility, and to rank these markets with respect to volatility. For this purpose, six markets are … dipicting high correlations and a heteroskedastic patron (volatility) among the markets over the sample tenure which then … reveals that KSE has 66.23% volatility and 0.10% average return followed by Sensex, which has 63.39% volatility and 0 …

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important … volatility is regarded as a key factor for modelling energy spot prices. Third, the model allows for the possibility of jumps and …

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends … standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability … in the data. We discuss how stochastic volatility of volatility can be defined both non–parametrically, where we link it …

than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering …, variances (diagonal elements of the covariance matrix - squares of volatility) contain noise as well. Our noise …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …