accurate approximations. We illustrate this method in a variety of contexts including option pricing with stochastic volatility …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning … implied volatility. To overcome the poor predicting power of existing models, we include a grid in the region of interest, and …

compelling evidence of higher volatility or greater persistence in price dynamics. Our findings also call for special attention …

The paper develops volatility forecasting model for exchange rate RUR/USD. To forecast volatility we decompose it to … structure for one of the fractal parameter. We discuss possibilities of the method to predict volatility, including forecasting …

Connection between interest rate and foreign exchange is important because of the economic volatility of the two … aims to establish a series of characteristics regarding the impact of interest rate in exchange rate volatility. This kind …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …