In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

varılmaktadır. The study aims to augment commonly applied volatility models with support vector machines and neural networks. The … returns in Istanbul ISE100 stock index. Results suggest that volatility clustering, asymmetry and nonlinearity characteristics …