In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory … behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure … topological stock market changes as well as the incorporation of these topological changes into forecasting realized volatility …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be …

forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be …