The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...

This paper studies the leverage effect and its propagation over time. We show that common volatility models like the GJRGARCH, the Exponential GARCH, and the asymmetric SV can be inappropriate to correctly represent the leverage effect and its propagation for financial time series. We propose to...

The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...