This paper aims to select the best model or set of models for modelling volatility of the four most popular …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …