Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...

In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...

We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic ...

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Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

Machine learning is reshaping the way portfolios are built, monitored, and adjusted. Investors are no longer limited to ...

For investors seeking broad diversification across asset classes and around the world, weighing the risks and rewards of investing outside of the advanced economies is critical in the decision-making ...