Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …