Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential … macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit … from 1.4877 to 1.3622. We contrast the behaviour of the GBPUSD option market in the run-up to the Brexit vote with that …

as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …

literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media … coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …