The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the … volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility …

. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the …

the unemployment problem, the volatility of the growth rate of unemployment has to be known in order to launch appropriate … policies correctly. Therefore, a wide range of conditional volatility models, which are usually used in financial markets, are … employed to estimate the volatility with symmetric and asymmetric effects. The monthly data on unemployment is downloaded to …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis. The …