Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts …

volatility models …

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available …

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …