-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … dimensionality. The relatively simple structure of the model leads to simple computations for the estimation of parameters and signal … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts … implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation … stochastic shocks incorporated in the SVXmodels. The out-of-sample volatility forecasts are evaluated against dailysquared …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … dimensionality. The relatively simple structure of the model leads to simple computations for the estimation of parameters and signal … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …