Nowcasting volatility of financial time series appears difficult with classical volatility models. This paper proposes a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current volatility, given past and current returns, in a very...

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and B-mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated...

The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive its asymptotic properties. We confirm our theoretical...