characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

-step state-space estimation approach the four-factor model produces accurate forecasts and outperforms competitor models across …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … an analysis of the comovement between Germany, Austria and the United Kingdom is presented. -- common feature analysis …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … limits feasibility of model-estimation to small cross-sections for unstructured models. Structured parametrizations possess … parameters have a direct economic interpretation that reflects the chosen notion of economic classification; iv) model-estimation …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension … even solve the curse of dimensionality problem. Identification and estimation of structured specifications are analyzed …