We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …

(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …

crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are … inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil … prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring Engle-Granger pairwise …