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

model returns and volatility dynamics of this price showing that a standard ARMA-GARCH framework is not adequate and that … the gaussianity assumption is rejected due to the occurrence of a number of level and volatility outliers. To improve the … sharp increases in volume increase volatility even in the absence of changes in what recent literature considers as market …

illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases …

/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. …

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 …

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 …