Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …

This article develops a general multivariate additive noise model for synchronized asset
prices and provides a multivariate extension of the generalized flat-top realized kernel …

We introduce a new multivariate GARCH model with multivariate thresholds in conditional
correlations and develop a two-step estimation procedure that is feasible in large …

We investigate the economic value of multivariate volatility forecasting ability using a testing
framework that assesses the quality of competing methods from a conditional investment …

A large number of nonlinear conditional heteroskedastic models have been proposed in the
literature. Model selection is crucial to any statistical data analysis. In this article, we …

The predictive power of recently introduced components affecting correlations is
investigated. The focus is on models allowing for a flexible specification of the short-run …

We analyze the applicability of economic criteria for volatility forecast evaluation based on
unconditional measures of portfolio performance. The main theoretical finding is that such …

Bir finansal varlığın fiyatındaki değişkenliğe oynaklık denilmekte ve çoğunlukla standart
sapma ile ölçülmektedir. Yüksek belirsizlik durumunda oynaklık artmaktadır. Bir piyasada …

The importance of the volatility transmission across the international financial markets has
become a current issue by the effects of global crisis in 2008. The purpose of this study is to …

We propose a new class of multivariate volatility models utilizing realized measures of asset
volatility and covolatility extracted from high-frequency data. Dimension reduction for …