We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the … of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly … and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts. …

realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …

12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …

This paper investigates the return-volatility relation by taking into account the model specification problem. The … market volatility is modeled to have two components, one due to the diffusion risk and the other due to the jump risk. The … existence of leverage effects, the return-volatility relations are determined by interactions between risk premia and leverage …