forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …

null hypothesis that the variable has no explanatory power. We derive the asymptotic theory for our test statistic and …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …

continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … ; financial volatility ; forecasting ; explanatory modelling ; exchange rates …

discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return …

volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based …