In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First … univariate models. Second, we forecast crack spread volatility and contrast the performance of multivariate models for two …

In existing researches, the investigations of oil price volatility are always performed based on daily data and squared … daily return is always taken as the proxy of actual volatility. However, it is widely accepted that the popular realized … volatility (RV) based on high frequency data is a more robust measure of actual volatility than squared return. Due to this …

We analyse asymmetric interest rate pass through, the impact of interest rate volatility on interest rates and the …)-M models show that the effect of interest rate volatility on interest rates varies among countries. Three out of the …

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow … description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be …

-based clustering procedure which starts from (i) asset return and (ii) volatility time series. The MST is obtained at different times … volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time scale of several …

Volatility series (defined as the magnitude of the increments between successive elements) of five different … behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and … standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original …

-adjusted volatility which measures the extent to which the Gaussian scaling law mis-estimates long-horizon volatility. Applied to the Dow … long-horizon volatility. Our model provides a general framework for estimating scaled volatility that may be also applied …

also consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices and implied volatilities …