research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that … option traders have private information on the volatility of stock returns and superior information processing ability that …

This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on … dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility …

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and …

structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option … volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …