S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility … the RV framework. We compare the predictive ability of the two against seven classical and multifractal volatility models …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …