This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility … significantly increases the accuracy of volatility forecasts, while in forecasting Value-at-Risk and Expected Shortfall at different …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms … different estimation methods. For the sake of completion, we compare the estimation results of normal and transformation methods …

-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …

implement GJR-GARCH over the GARCH model to estimate the volatility of ten popular cryptocurrencies based on market …

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces … stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory …