back-testing models. We conclude by comparing in-sample and out-of-sample performances of complex volatility models. …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

capability to capture the short-term behaviour of extremes without involving an arbitrary stochastic volatility model or a … for the Value at Risk. The model is then applied and illustrated to transactions data from Bayer AG, a blue chip stock …

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular … model in which real exchange rate volatility induces a bias towards domestic financial assets as well as a stronger home … bias for assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a …

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise … posterior and traditional Bayesian Model Averaging techniques in applications of Value-at-Risk prediction in GARCH models. …

with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict. …

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and … finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit … generate volatility dynamics, qualitatively matching several stylized facts. On the other hand, they illustrate the possible …

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing …, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the …