The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

selection, ad hoc algorithms are used and the theory of reduction, proposed by David Hendry, is also briefly described. …

In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized … volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a …-Spline Multiplicative Error Model. Exploiting UHFD volatility measures, VaR predictive ability is considerably improved upon relative to a …

Markov Switching Models to test whether the Italian stock market volatility has increased in the long run and if it can be … represented by different volatility regimes. We find that volatility regimes exist; that Banking sector has a central role and …

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to …