demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … 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 …-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

We propose a new method for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the … empirical application aiming at comparing estimates and predictions of the volatility of financial asset returns. The Dynamic …

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

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility … models. A MCS is analogous to confidence interval of a parameter in the sense that the former contains the best forecasting …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …