This paper provides empirical evidence 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. Superior forecasting performance is...

Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. According to the efficient market hypothesis, since implied volatilities are calculated based upon today's pricing information, they contain the best information about the market....

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX...

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...

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns. In this paper we propose a process that...

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...