application based on a stochastic volatility model with stable errors highlights the flexibility of the approach. …

output volatility, particularly when interacting with de facto flexible exchange rate regimes. This stabilizing effect is …

largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility …

-time limit. Such a finding is yet another endorsement of the recent and popular stylized fact known as rough volatility. …

for the implied volatility surface of S&P500 index options data. …

creating unique volatility dynamics through direct information spillover. We analyze the volatility dynamics and spillover … volatility, on Tel-Bond 20 Index returns and volatility. A bivariate diagonal Baba-Engle-Kraft-Kroner (BEKK) model is also … applied to capture time-series integration and cross-volatility spillovers between the TA-35 Index (stocks) and the Tel …

Volatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk … management, option pricing, and market making. For instance, banks can incorporate volatility forecasts into stress testing … frameworks to ensure they are holding sufficient capital during extreme market conditions. However, volatility forecasting is …