study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index … exist and the volatility pattern across days of the week and months of the year are statistically different. The return …

investors. However, the higher overnight returns for B shares may be offset by higher volatility embedded in the B shares. …

asset to the riskless rate of interest. Finally, our Binomial Leverage-Volatility theorem provides a precise link between … leverage and volatility. …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in …