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. …

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 …

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 …

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 …

volatility through time. The advocated methodology avoids typical orthogonalization and ordering problems. Theoretical properties … of volatility impulse response functions are derived and compared with conditional moment profiles introduced by Gallant … use volatility impulse response functions to compare alternative parametric volatility specifications. It is shown that …