seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations affect output volatility through the investment or trade channel …

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the … informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices and in … improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are …

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …