We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the … the Black and Scholes evaluation, in which a predictive mean volatility is plugged, but which does not provide a natural … persistence of the volatility process is linked to the prediction horizon and to the option maturity. …

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …

estimates of volatility, we present an application dealing with Value-at-Risk (VaR) prediction at different sampling frequencies … factor in the portfolio volatility equation from the estimated vector IMA(1,1) model of squared returns. Empirical results …

-end varieties is likely to affect its export growth and volatility. We show that a higher sensitivity to per capita income tends to … increase the volatility of high-end variety exports. However, a lower sensitivity to distance reduces volatility through a …

A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is … the volatility of stock indices. …