This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …

Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one … cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002) showed that …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

time variability of conditional yield volatility simultaneously. Models in this class are, in this regard, able to break … three unspanned stochastic volatility factors, which, correlate strongly withthe level and slope factor of conditional yield … volatility …

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned … stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing … futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

liquidity management are responsible for a significant decrease in the interest rate volatility …