application to in- and out-of-sample one-step-ahead density forecasts of daily returns on the S&P 500, DAX and ATX stock market …

application to in- and out-of-sample one-step-ahead density forecasts of daily returns on the S&P 500, DAX and ATX stock market …

a single common factor and idiosyncratic returns. High frequency correlations mean revert to slowly varying functions … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the … evolution of CDS spreads is analyzed along with the level of the equity market and a well-chosen implied volatility index. We … leptokurtosis are captured. Incidentally, the sensitivity of aggregate CDS spreads to equity market price and volatility channels …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

returns on 25 stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their … contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … our prediction experiments using the class of linear and nonlinear HAR-RV, HAR-RV-J and HAR-RV-CJ models proposed by …

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …