This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly …

In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet …-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using … commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …

generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR …