response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

strategies and review the appropriate hedge fund’s risk assessment models for investing in the global capital markets in time of …

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year …-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH. …

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index. …

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

macroeconomic events such as the financial crisis of late 2008 and early 2009. We find very little evidence of volatility spillovers …

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing …, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the …

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via …-dependent volatility in the state equation. We implement on firm-level time-series of CDS spreads, and find strong in-sample evidence of … stochastic volatility in this market. Relative to the widely-used CIR model for the default intensity, we find that stochastic …

Idiosyncratic consumption risk explains more than 60 percent of the cross-sectional variation in quarterly exchange … an explanation for this phenomenon, we explore the presence of currency risk premia that also lead to departures from … aggregate consumption risk has declined over the 1990s, in line with a growing literature that documents a growing …