Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

We characterize equity return volatility connectedness in the network of major American and European financial …