evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk … to forecast the volatility of the Moroccan stock-market index MADEX. We use daily returns covering the period between 01 …, as well as leading to a better understanding of the Moroccan stock-exchange volatility dynamics, especially with the lack …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box … covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …