We apply the Realized GARCH model in the foreign exchange market. With daily data, we find that the Realized GARCH model has better in-sample and out-of-sample performances than a standard GARCH or IGARCH model. On the other hand, GARCH gives better forecasts of conditional variances if weekly...

The industry standard model for commodity price dynamics implies constant correlation between returns of futures with different tenors. We extend the model by allowing its parameters to vary over time. This practice enables us to capture the seasonality effect embedded in the evolution of a...

We derive asymptotic properties of the quasi maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual square-root-of-T...