For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have …

electrification of global economies. However, their markets are characterized by high price volatility due to supply concentration …, low substitutability, and limited price elasticity. This paper provides a comprehensive analysis of the price volatility … visualization methods, we identify key features for accurate point and density forecasts. We evaluate various volatility models …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula … functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and … long-memory type behavior in a flexible yet parsimonious way. In an empirical application to daily volatility for S&P500 …