paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

Data show that better creditor protection is correlated across countries with lower average stock market volatility …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …