fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of …

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

In this paper, we review econometric methodology that is used to test for jumps and to decompose realized volatility …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …

on the four largest international stock markets. In particular, we document the persistence in large (positive or … domestic volatility after good shocks but a bad hedge after crashes …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …