process, such as volatility persistence, breaks in the volatility process and heavy-tailed distributions, we investigate the …. Emphasis is given to short-term forecasting of prices and volatility. We find that MS-GARCH models distinguish well between two … states and that the volatility processes in the states are clearly different. This finding can be explained by the EU ETS …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast …

estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

The volatility of exchange rates is of high importance, because it affects decisions of market participants. The choice … of the exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with … increasing volatility and vice versa. We investigate the exchange rate volatility of possible initial members prior to the launch …