I examine volatility spillover of good and bad uncertainty within the Chinese financial sector. Larger institutions are more central in the propagation of bad uncertainty. Bad uncertainty positively predicts future overall volatility

This study was aimed at estimating the conditional variance of stock price returns in India using PGARCH model. Ten companies with highest market capitalization were chosen from National Stock Exchange (NSE). The data for a period from 2006 to 2016 was collected from Prowess database....

Finding a suitable weight matrix in spatial GARCH models is a challenge when the actual locations are not known. Thus, we introduce an estimation procedure for spatial GARCH models when the locations are unknown. We suggest to use balance sheet data of companies as proxy for the spatial distance...

We study the estimation of the high-dimensional covariance matrix and its eigenvalues under dynamic volatility models. Data under such models have nonlinear dependency both cross-sectionally and temporally. We first investigate the empirical spectral distribution (ESD) of the sample covariance...

We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of...

This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its general form and its link with other existing models in the...