In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...

The size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used...

Modelling and forecasting the covariance of financial return series has always been a challenge due to the so-called "curse of dimensionality". This paper proposes a methodology that is applicable in large dimensional cases and is based on a time series of realized covariance matrices. Some...