The purpose of this paper is to contribute to the debate on the relevance of non-linear predictors of high-frequency data in foreign exchange markets. To that end, we apply nearest-neighbour (NN) predictors, inspired by the literature on forecasting in non-linear dynamical systems, to...

This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period January 3, 2011-May 4, 2018. To this end, we first perform a static analysis to measure...