framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

model. Empirical results indicate significant return and volatility spillover effects during the full sample, the Russian … strong volatility persistence. During the Russian Great Recession subsample, the own-return effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model …