tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …