of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …

, with a particular emphasis on bank profitability. Methodologically, it employs two multivariate time series models, namely … comprehensive profitability outlook for the Maltese core banking sector. Key findings are summarized as follows: (i) neither of the …

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to … importance of considering the continuous/jump decomposition of volatility for the purpose of density forecasting. Specifically …