financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general … information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe … three stock market indices. The estimation and forecasting results indicate the adequacy of considering general long memory …

for volatility, correlation and covariance using high frequency financial data. It also implements complementary … paper first presents the issues associated with exploiting high frequency financial data. We then describe the volatility …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …