sampling depending on the hypotheses on the distributional form of the innovations. A predic- tive accuracy comparison with the …

components. A comparison with of its fitting and forecasting abilities with the CARR model shows that the new approach can …

the intense volatility of returns. After examining the normality of daily returns in Beirut Stock Exchange (BSE) from June … fat tails and volatility clustering being persistent. Furthermore, the asymmetric EGARCH-GED model is found to adequately … fit the data and incorporate the leverage effect. Surprisingly, good news generates higher volatility than bad news which …

industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this … volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other …

financial markets as the literature has here-to-fore been focused too narrowly on Gaussian variance as a measure of volatility …

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …