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

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging … research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing … realized covariance (RCOV), the proxy that generally provides a consistent estimate of the unobserved volatility. The aim of …

volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on … CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back …

correlation ; Dynamic conditional correlation ; Return comovement ; Variable correlation GARCH model ; Volatility model evaluation …