under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for … forecasting weekly and monthly horizons. …

This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock … noise. A comparison between a class of HAR- and ARFIMA models is facilitated on the basis of out-of-sample forecasting …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … estimator provides less biased and robust estimates of the continuous quadratic variation and jumps. This technique also …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have positive and mostly … estimator provides less biased and robust estimates of the continuous quadratic variation and jumps. This technique also …

-returns where the estimates are not a affected by microstructure noise and the presence of Lévy-type jumps in prices. The second … contribution focuses on the relationship between the number of jumps and the volatility of log-returns of the SPY, which is the … the SPY log-returns to show that: (i) The number of jumps in the SPY is an important variable in explaining the daily …

dependent and independent variables are co-integrated. In this paper, we investigate forecasting performance between first …-of-sample forecasting under the CCAR framework. A simple application for models constructed for banks’ Comprehensive Capital Analysis and …