information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

The volatility of financial returns is affected by rapid and large increments. Such movements can be hardly generated … by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they … estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of …

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

application evidences negative causality effects between returns and volume of an Italian stock market index future contract. …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between … low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected … equity risk determinants in different volatility states and, without distributional assumptions on the realized range …