In the 20 years following the publication of the ARCH model, there has been a vast quantity
of research uncovering the properties of competing volatility models. Wide‐ranging …

We explore the cross‐sectional pricing of volatility risk by decomposing equity market
volatility into short‐and long‐run components. Our finding that prices of risk are negative and …

The prices of index options at a given date are usually represented via the corresponding
implied volatility surface, presenting skew/smile features and term structure which several …

The WTI future contract quoted at the NYMEX is the most actively traded instrument in the
energy sector. This paper compares the predictive ability of two approaches which can be …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

We develop a new generalized autoregressive conditional heteroskedasticity (GARCH)
model that accounts for the information spillover between two markets. This model is used to …

In this paper, we provide several theoretically relevant and empirically significant
improvements to the general affine realized volatility (GARV) model of Christoffersen et …

Research has consistently found that implied volatility is a conditionally biased predictor of
realized volatility across asset markets. This paper evaluates explanations for this bias in the …

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to
predict the behavior of realized volatility. The methodology adopted addresses the …

I review and interpret two of Robert Engle's most important contributions: the theory and
application of cointegration, and the theory and application of dynamic volatility models. I …