The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV …, a new method of de-seasonalising the volatility in high frequency data is proposed, that allows for slowly varying … realised volatility to that of a linear long memory model fit to the log realised volatility. The performance of the new …

This paper performs a thorough statistical examination of the time-series properties of the market volatility index …

incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility …

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

More financially developed countries show lower volatility of industrial output. Volatility is particularly reduced in … industries that are more financially dependent. Most of the reduction is in idiosyncratic volatility. Systematic volatility is …