This cumulative dissertation studies various approaches to improve stock market volatility forecasts based on … empirical similarity significantly improves volatility forecasts based on different statistical and economic measures. The … importance of accurate volatility forecasts in portfolio- and risk management is highlighted in several economic applications and …

volatility for a large cross-section of international equity markets. For this purpose, we extend the heterogeneous … autoregressive (HAR) model of realised volatility of Corsi (2009) by including US equity volatility information. More precisely, we … augment the standard HAR model by US realised volatility and VIX HAR components, and compare it to the original HAR model …