link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

to this measure as financial volatility. First, I show that the idiosyncratic risk highlighted by models with a financial … model and structural vector autoregressions, I show that exogenous movements in financial volatility cause substantial and … evidence of a feedback effect between credit spreads and financial volatility …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …