practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

traditional asset classes, and estimation results and forecasting performance for various volatility models are also in line with …

traditional asset classes, and estimation results and forecasting performance for various volatil- ity models are also in line …

(GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …