We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and...

This paper considers 100 stocks from 10 sectors over the period 2000 to 2010 to examine the impact of market conditions, sector type and horizon on the forecasting performance of various volatility models. Out-of-sample forecasts are generated with standard daily GARCH and with ARFIMA/HAR models...