Volatility models such as GARCH, although misspecified with respect to the data-generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many...

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...

This paper investigates return and volatility spillover effects between the FTSE 100, FTSE 250 and FTSE Small Cap equity indices using the multivariate GARCH framework. We find that return and volatility transmission mechanisms between large and small stocks in the UK are asymmetric. In...

In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the "ex...