volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional …

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management …; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however … volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed …

the relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long … as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility … of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically …, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian …-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent …

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …