This paper compares the renowned GARCH model with a novel one, the Generalized Autoregressive Score (GAS) model in terms of forecasting performance. Considering the gap in the literature, this study focuses on the Turkish stock and FX markets. The analysis covers 25 years (1999-2023), of which...

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...