The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American …