New evidence on the way oil price fluctuations affect international stock markets is provided in analysis of the exposure of 43 stock markets. Oil price spikes depress international stock markets, but oil price drops do not necessarily increase stock market returns. Moreover, the volatility of...

In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical expressions of moments and autocorrelations of...

This paper evaluates the application of two well-known asymmetric stochastic volatility (ASV) models to option price forecasting and dynamic delta hedging. They are specified in discrete time in contrast to the classical stochastic volatility (SV) models used in option pricing. There is some...

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...