In this paper we present several new ¯ndings on the NoVaS transformation approach for volatility forecasting … introduced by Politis (2003a,b, 2007). In particular: (a) we present a new method for accurate volatility forecasting using NoVaS … and compare it to realized and range-based volatility measures. Our empirical results show that the NoVaS -based forecasts …

processes. This is especially relevant in the context of volatility predictions for risk management. We further illustrate the …In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting … present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in …

processes. This is especially relevant in the context of volatility predictions for risk management. We further illustrate the …In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting … present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 …

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH … volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the … probabilistic distribution different from intrinsic GDP volatility. Clusters arrangement is different with some risk country …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 …