time series ; semiparametric model ; k-NN estimation ; local polynomial regression ; volatility forecasting …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange … markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR … volatility shapes that closely match empirical data during the volatile 2006-2013 period. Furthermore, the FTS model …

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where … trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the … chosen treatment of overnight returns affects the results. For example, the selection of the best volatility forecasting …