prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump …

volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …

In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet …-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …

This paper investigates the impact of volatility in the upstream electric vehicles (EV) battery raw materials market on … and the newly proposed EGARCH-EARJI model to capture the jump component of volatility in the EV battery raw materials …

change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …

In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between … volatility of all three indices. The results for returns are contradictory with several studies which claim that developing …