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 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 …

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April … 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest … GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares …

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 …

unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

relationship between Bitcoin, Ethereum, and the other eight cryptocurrencies, four main results were obtained in this paper: first … features of volatility clustering and memory persistence in the long run; from pre-COVID-19 to COVID-19, these cryptocurrencies … between the return indices of Bitcoin, Ethereum, and the other cryptocurrencies were very strong; from pre-COVID-19 to COVID …

coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the …, and bitcoin prices for the period 22 January 2020-3 August 2021. The study has employed wavelet coherency, the continuous …, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer …

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 …