Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …