general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

This paper investigates how to improve prediction accuracy of stock realized volatility using a large set of predictors … realized volatility out-of-sample prediction performance relative to several extant forecast combinations. This result is … existence of a strongly powerful volatility predictor affects this change …

spillovers in the FX market, which are sparse and time-varying. Second, it incorporates cross-sectional variations in currencies …

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …