foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns … in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional … volatility calculated using an EGARCH model, idiosyncratic, and expected shortfall. A significantly positive relationship is …

Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions … different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse …

than ordinary least squares (OLS) because it incorporates time-varying volatility into its point estimates. Traditional … estimates may be false positives driven by a few periods with high expected volatility …