Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

A voluminous literature has emerged for modeling the temporal dependencies in financial
market volatility using ARCH and stochastic volatility models. While most of these studies …

This paper provides a detailed characterization of the volatility in the deutsche mark–dollar
foreign exchange market using an annual sample of five‐minute returns. The approach …

Although many of the models commonly used in empirical finance are linear, the nature of
financial data suggests that non-linear models are more appropriate for forecasting and …

This monograph puts together results from several lines of research that I have pursued over
a period of years, on the general topic of volatility forecasting for option pricing applications …

We examine the dynamic relation between returns, volume, and volatility of stock indexes.
The data come from nine national markets and cover the period from 1973 to 2000. The …

Financial market volatility forecasting is one of today's most important areas of expertise for
professionals and academics in investment, option pricing, and financial market regulation …

This paper explores the return volatility predictability inherent in high-frequency speculative
returns. Our analysis focuses on a refinement of the more traditional volatility measures, the …

Content popularity prediction finds application in many areas, including media advertising,
content caching, movie revenue estimation, traffic management and macro-economic trends …

This paper examines empirical contemporaneous and causal relationships between trading
volume, stock returns and return volatility in China's four stock exchanges and across these …