a r t i c l e i n f o JEL classification: C14 C22 C58 G10 G15 E44 Keywords: MIDAS Conditional variance China In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it ...

Volatility derivatives are becoming increasingly popular as means for hedging unexpected changes in volatility. Although pricing volatility derivatives demands extreme care in modeling the underlying volatility process, not much attention has been devoted to the complete specification of the autonomous process that volatility follows in continuous time. Despite the fact that jumps are widely co...

We implement an estimator of the model-free implied volatility derived by Britten-Jones and Neuberger (2000) and investigate its information content in the S&P 500 index options. In contrast to the commonly used Black-Scholes implied volatility, the model-free implied volatility is not based on any specific option pricing model and thus provides a direct test of the informational efficiency of ...

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility. Such models are given by volatility modulated non–Gaussian Ornstein Uhlenbeck processes. We study the probabilistic properties of such models both under the physical and under the risk neutral probability measure, where we focus in particular on the role of the volatility of v...

This study examines the performance of the S&P 100 implied volatility as a forecast of future stock market volatility. The results indicate that the implied volatility is an upward biased forecast, but also that it contains relevant information regarding future volatility. The implied volatility dominates the historical volatility rate in terms of ex ante forecasting power, and its forecast err...

In their 2014 article in the British Journal of Political Science, Eleanor Neff Powell and Joshua A. Tucker examine the determinants of party system volatility in post-communist Europe. Their central conclusion is that replacement volatility – volatility caused by new party entry and old party exit – is driven by long-term economic performance. This article shows that this conclusion is based e...

Volatility in equity markets is asymmetric: contemporaneous return and conditional return volatility are negatively correlated. In this article I develop an asymmetric volatility model where dividend growth and dividend volatility are the two state variables of the economy. The model allows both the leverage effect and the volatility feedback effect, the two popular explanations of asymmetry. T...

This paper uses a new textual data index for predicting stock market data. The is applied to large set of news evaluate the importance one or more general economic-related keywords appearing in text. assesses keywords, based on their frequency use and semantic network position. We apply it Italian press construct indices predict bond returns volatilities recent sample period, including COVID-19...

Indonesia possesses numerous potential sites for nuclear power plant development. A fast and comprehensive radiological consequences analysis is required to conduct a preliminary of radionuclide release into the atmosphere, including source terms estimation. One simplified method such estimation use Relative Volatility approach by Kess Booth, published in IAEA TECDOC 1127. The objective this st...

In this paper, we argue that study of the effect of financial development and shocks on aggregate growth volatility will not be informative because they affect growth volatility through its different components. Financial development affects only the business cycle component of volatility and therefore, the effect on total volatility is dependent on its share in total volatility. On the contrar...