A variety of historical-volatility, peer-historical-volatility, implied-volatility and blended estimators of stock … price volatility are developed and tested for a group of large U.S. companies over roughly a thirty-year window. Longer …-year realized volatility. Inclusion of implied volatility into forecasts at low weightings is found to have little discernible …

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow …-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This … volatility, due to bias-related concerns.) A relationship is observed between the estimated fractional-differencing parameter and …

This paper evaluates the VaR forecasting performance of the Markov regime switching (MRS) based volatility models … volatility models like the EGARCH or GARCH models with a skewed t-student distribution of return innovations can outperform the …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …