dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

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 …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system … throughput can significantly improve the predictability of Bitcoin market returns and volatility using network flow complexity …

We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …