prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often … characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …

application to in- and out-of-sample one-step-ahead density forecasts of daily returns on the S&P 500, DAX and ATX stock market …

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …

volatility predictor, the results of an application to tactical asset allocation are presented. …

discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … illustration provides an example of where an explanatory model outperforms realised volatility ex post. …

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 …

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 …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …