volatility and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in …

additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely … autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … returns we observe that the slope and curvature yield factors contain the same explanatory power as the return …

Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as … mid-quote returns, average trade sizes, number of trades and average (excess) trading costs per time interval in terms of … evidence for significant contemporaneous relationships and dynamic interdependencies between the individual variables …

the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The …

, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often … 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 …

In this paper we propose a Libor model with a high-dimensional speciallystructured system of driving CIR volatility …