In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

domestic volatility after good shocks but a bad hedge after crashes …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …