substantial improvement over existing prediction methods. An empirical application to the realized volatility of three exchange …

illustrate the methodology by investigating the independence between the volatility of two daily nominal dollar exchange rates …

question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have … volatility time series. The approaches that are summarized in this discussion paper propose various specification for this time …

Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner …, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility …

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

framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out … evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models … requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to …

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility … regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static … relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is …

volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic … fluctuations in long run volatility even after controlling for the incoming order flow. The book is less informative for large …

/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high …-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the … volatility as expected by the theoretical literature on order flow. …