The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging … research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing … realized covariance (RCOV), the proxy that generally provides a consistent estimate of the unobserved volatility. The aim of …

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 …

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …

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 analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility … regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static … relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is …

volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different … origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect …

which is a stronger predictor of not only stock returns, but also volatility. …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …