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 …

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 …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …

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 …

Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …

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 …