We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries … produce significant improvement in volatility predictability …

This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

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 …

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to … importance of considering the continuous/jump decomposition of volatility for the purpose of density forecasting. Specifically …

We propose a new test to measure asymmetry in volatility based on daily opening, high, low and closing prices. The test … volatility using Heston model. Our simulation study give credence to the hypothesis that Heston Model can capture the asymmetry … in volatility. We believe that this novel specification approach will add to the body of knowledge on the study of …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

-post portfolio realized volatility (RV) budget, determining each portfolio component's contribution to the RV of the portfolio return …