This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by conditioning on macroeconomic and financial variables. We employ quantile autoregressive models augmented with a plethora of macroeconomic and financial variables. Complete subset...

We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post-1995 analysis reveals that the linkages between the markets have changed substantially in the more...

Forecasting realized volatility in exchange rates is very important for both practitioners and academics. Our aim is to provide a comprehensive analysis of the forecasting ability of financial and macroeconomics variables for future exchange rate realized volatility. We employ four widely traded...