framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out … evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models … requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to …

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range …

This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity … investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit … loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice …

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care … this amount is imported. The aim of the study is investigate whether the series of crude oil price shows volatility, if it … shows the structure, size and continuity of volatility. Besides, for these economical variables, best intervention model …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

the close analogy between the integrated GARCH (1,1) model for conditional volatility and the IMA (1,1) model for squared … the aggregation results by inferring the aggregate parameter in the portfolio volatility equation from the estimated …