) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …

weather conditions. To account for the uncertainty in predicting wind power production, this article examines the volatility …-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …-scale data, serves as a benchmark for the latent volatility. We find that the MRS-GARCH model significantly outperforms …