Fractionally integrated autoregressive moving average (ARFIMA) and Heterogeneou Autoregressive (HAR) models are estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this paper follows three steps: (i) The optimal sampling...

Τhis paper focuses on the performance of three alternative Value-at-Risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time period from 2004 to 2008. The...

In this paper an asymmetric autoregressive conditional heteroskedasticity (ARCH) model and a Levy-stable distribution are applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the...

The study provides evidence in favour of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.A stochastic differential equation with time varying volatility of...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

The EC Directive on financial instruments markets 2004 (MiFID) has introduced a number of order and trade publication obligations imposed on organised exchanges, alternative trading systems (ATS), and the class of broker dealers that execute transactions in shares internally. This article...

In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g., Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that...

Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should take before constructing their forecasting models....

The EC Directive on Financial Instruments Markets (MiFID) has introduced a number of order and trade publication obligations imposed on organized exchanges, Alternative Trading Systems (ATS), and the class of broker dealers that execute transactions in shares internally. This article...