We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a … nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a … nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel …

volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … modified ICSS test developed by Sansó et al. (2004) and then incorporate this information into the volatility modeling. Our … results indicated that the degree of persistence of volatility is reduced by incorporating the variance changes into the …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

) conflicting issues of production and preservation and iii) robustness with respect to dynamics uncertainties. More specifically …

is a compound measure of publications and citations. We show the robustness of this index. This means that h …

We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin …