model-free methods of volatility forecasting do not exist any more than do arbitrage opportunities (free lunches) in …The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …

tests apply to both the class of ARCH and SV type processes and allow for long memory features. We also apply them to data …-driven volatility estimators using high-frequency data and suggest multivariate applications. In addition to testing for the presence of … associated with the Asian and Russian financial crises. We find changes in the dynamics and long memory of volatility in the …

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing … literature favors some rather complex volatility specifications whose relative performance is usually assessed through their … likelihood based on a time-series of asset returns. This paper compares a range of volatility models along a different dimension …

) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …

We consider the evaluation of a business process quality, focusing on the robustness facet that is a very important …