This paper provides a framework for modeling the dependence structure in the foreign exchange market. We first employ generalized autoregressive heteroskedasticity models to estimate the marginal distributions of the exchange rates. The conditional copula is then applied to the marginal...

We adopt Extreme Gradient Boosting (XGBoost) to forecast realized volatility. This is motivated by XGBoost's strong forecasting performance in other forecast applications and its ability to capture non-linearities, a feature that is also frequently reported in the context of realized volatility....