This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...

In this study I apply the recent advances in volatility estimation and forecasting to the price series of the FTSE 100, retrieved from the TRTH database. I use the recently introduced threshold bipower variation and the realized semivariance together with the usual realized variance and the...

In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the quadratic variation of financial prices. This quantity was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

This paper shows that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, (unconditional) combinations, and hybrid forecasts. Hence, it finds empirical evidence that both, combining...

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to...

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent decades, academic literature has made substantial progressboth in terms of methods and predictors under consideration. Despite the popularity oftechnical indicators, there has been...