but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …