Volatility has been one of the most active and successful areas of research in time series
econometrics and economic forecasting in recent decades. This chapter provides a selective …

This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …

This study examines the impact of financial statement comparability on ex ante crash risk.
Using the comparability measures of De Franco et al.(2011), we find that expected crash risk …

This article shows that realized power variation and its extension, realized bipower variation,
which we introduce here, are somewhat robust to rare jumps. We demonstrate that in special …

The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable
outcomes in standard methods for comparing conditional variance forecasts. We motivate …

In this article we provide an asymptotic distribution theory for some nonparametric tests of
the hypothesis that asset prices have continuous sample paths. We study the behaviour of …

This paper examines continuous‐time stochastic volatility models incorporating jumps in
returns and volatility. We develop a likelihood‐based estimation strategy and provide …

We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …

We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …

This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in implied …