We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized volatility (RV) models combined with alternative parametric and semi-parametric quantile estimation methods. A benchmark inter-daily GJR-GARCH model is also employed. Based on four asset classes, i.e. equity,...

In this paper, we assess the informational content of daily range, realized variance, realized bipower variation, two time scale realized variance, realized range and implied volatility in daily, weekly, biweekly and monthly out-of-sample Value-at-Risk (VaR) predictions. We use the recently...

In this article, we account for the presence of heterogeneous leverage effects and the persistence in the volatility of stock index realized volatility. The Heterogeneous Autoregressive (HAR) Realized Volatility (RV) model is extended in order to account for asymmetric responses to negative and...

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...

This paper examines the volatility transmission mechanism from the US bond market and the aggregate Euro area bond market to twelve individual European bond markets. A bivariate EGARCH model with a dynamic conditional correlation structure that deals with US effects as exogenous is used. Our...

Most approaches in forecasting future correlations depend upon the use of historical information as their basic information set. Recently, there have been some attempts to use the notion of implied correlation as a more accurate measure of future correlation. This study proposes an innovative...

This paper examines the systematic relationship between correlation mis-estimation and the corresponding Value-at-Risk (VaR) mis-calculation. To this end, first a semi-parametric approach, and then a parametric approach is developed. Both approaches are based on a simulation setup. Various...