Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in … the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms … dependence in return volatility, which is often absent in applications of stochastic volatility models which incorporate leverage …

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore … 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the … world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed …

volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …

the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …

This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector … decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock … prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different …

the relatively large global stock markets, no studies have explored volatility spillovers among its sectors. Using the … forecast error variance decomposition of the vector autoregressive model, this study examines the volatility spillovers among … sectors classified on the Tokyo Stock Exchange. Our findings show that the pattern of volatility spillovers across sectors in …