This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...

In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors from a large dimensional and high-frequency returns...

In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges and explore the use of these more...

The accuracy of variance prediction depends on both the specification and the accuracy of parameter estimation. To predict stock return variance in a large and ever-changing universe, this paper proposes to replace the classic time-series dynamics specification per each name with a...

A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry),...