-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized … volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional …