depend on market conditions. In ordinary models of risk (e.g. volatility, Value-at-Risk, Expected Shortfall), however, the … probability, and which nests ordinary models as special cases. The properties (e.g. volatility, skewness, kurtosis, Value …-at-Risk, Expected Shortfall) of the new class are obtained as functions of the underlying volatility and zero probability models. For a …

includes several episodes of high volatility in the oil market. Our evidence shows that penalized regressions provided the best …

as the prevalence of excess volatility and the relation between financial markets and the macro-economy. The final two …

Estimation of large financial volatility models is plagued by the curse of dimensionality: As the dimension grows … variables (``X") are added to each volatility equation. In particular, the problem is especially acute for non …-exponential volatility models (e.g. GARCH models), since there the variables and parameters are restricted to be positive. Here, we propose …

depend on market conditions. In standard models of return volatility, however, e.g. ARCH, SV and continuous time models, the … probability, and which can be combined with standard models of return volatility: They are nested and obtained as special cases … (e.g. volatility, skewness, kurtosis, Value-at-Risk, Expected Shortfall) are obtained as functions of the underlying …

and month-of-the-year effects), large spikes or jumps, GARCH and -- as evidenced by recent findings -- periodic volatility …. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e … robust to spikes or jumps, allows for a rich variety of volatility dynamics without restrictive positivity constraints, can …

depend on market conditions. In standard models of return volatility, however, e.g. ARCH, SV and continuous time models, the … probability, and which can be combined with standard models of return volatility: They are nested and obtained as special cases … (e.g. volatility, skewness, kurtosis, Value-at-Risk, Expected Shortfall) are obtained as functions of the underlying …