We conduct a comprehensive analysis of the in-sample and out-of-sample properties of stock return dynamics in 14 developed and 12...

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative...

The Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t henceforth) is introduced as an extension...

The Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t henceforth) is introduced as an extension...

This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond...

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and...

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized...

This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The...