Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

We examine the pricing of aggregate volatility risk in the cross‐section of stock returns.
Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate …

This paper examines the impact of structural oil price shocks on the covariance of US stock
market return and stock market volatility. We construct from daily data on return and volatility …

Abstract Britten-Jones and Neuberger (2000) derived a model-free implied volatility under
the diffusion assumption. In this article, we extend their model-free implied volatility to asset …

We examine whether time variation in the comovements of daily stock and Treasury bond
returns can be linked to measures of stock market uncertainty, specifically the implied …

Many ways exist to measure and model financial asset volatility. In principle, as the
frequency of the data increases, the quality of forecasts should improve. Yet, there is no …

The increasing availability of financial market data at intraday frequencies has not only led to
the development of improved volatility measurements but has also inspired research into …

Inspired by the commonly held view that international stock market volatility is equivalent to
cross‐market information flow, we propose various ways of constructing two types of …

This book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …