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 …

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … horizons. These models are based on different and sometimes competing theoretical concepts. They belong either to GARCH or …

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 …

: the Logistic Smooth Transition GARCH model and the Markov-Switching GARCH models. Thanks to simulation experiments, we …

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models …

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 …

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 …