volatility model for theS&P500. …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

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 …

In this article we introduce a linear quadratic volatility model with co-jumps and show how to cal- ibrate this model … simultaneous jumps in both re- turn process and volatility process and the superposition structure of a continuous linear quadratic … volatility process and a Lévy-driven Ornstein-Uhlenbeck process. We compare the quality of fit for several models, and show that …

investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests …