market, size, value, momentum, investment, profitability, and volatility. The value-added induced by factor management via ….g. factor volatility or factor valuation. For the majority of factors, our strategies appear successful especially in recessions …

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump …

researchers examined the long memory of stock returns and volatility prioritizing the weak form efficiency of the Efficient Market …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …