recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present … emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical … volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH …

volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

first is the symmetric Generalized ARCH (1,1) model. However, previous studies found that volatility tends to increase more … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …