, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

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

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector … indexes and the market risk factor to identify the impact of market liquidity risk and market credit risk in the different US … lower impact, we also find that market risk and interest rate risk are also common factors, as well as liquidity risk. These …

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 …