FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effect on these assets' return volatility if investors have …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …