Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

market information can be used to improve realized volatility forecasts in a large cross-section of international equity … markets. We use volatility data for the U.S. and 17 foreign equity markets from the Oxford Man Institute's realized library … and augment for each foreign equity market our benchmark HAR model with U.S. equity market volatility information. We show …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

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 …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …