In this paper we present several new ¯ndings on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we present a new method for accurate volatility forecasting using NoVaS ; (b) we introduce a \time- varying" version of NoVaS...

Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Treasury futures market to the periodically scheduled announcements of prominent U.S. macroeconomic data. Heterogeneous persistence from scheduled news vs. non-scheduled news is revealed. Strong...

In this paper, we develop the theoretical and empirical properties of a new class of multivariate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. We show that the problem of multivariate conditional variance...

Conventional measures of the risk of a financial asset make use of the unobserved (conditional) variance or standard deviation of its return. In this paper, we treat the observed absolute return as a measure of risk and explore its forecastability. Two simple models are considered. One is a new...