This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility...

We study co-movement of 10-year sovereign bond yields of 11 EU countries. Our analysis is focused mainly on changes of co-movement in the crisis period, especially near two significant dates - the fall of Lehman Brothers, September 15, 2008, and the announcement of increase of Greek's public...

In this paper, we map the process of synchronization of the Visegrad Four within the framework of the European Union using the wavelet techniques. In addition, we show that the relationship of output and key macroeconomic indicators is dynamic and varies over time and across frequencies. We...

In this paper, we map the process of synchronization of the Visegrad Four within the framework of the European Union using wavelet techniques. We show that the relationship of among countries is dynamic and that it varies over time and across frequencies. We study the synchronization applying...

In our study, we consider a new approach to quantify the effects of economic shocks on monetary transmission. We analyse the widely known phenomenon of price puzzle in a time-varying environment using the frequency decomposition. We use the frequency response function to measure the power of...

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes....

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in the paper, it is capable of generating highly...

This work studies wavelet-based Whittle estimator of the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the spectral...

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...