We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on …

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 … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of …

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on …

In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the … forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the … volatility series and they have a highly in-sample explanatory power. The analysis of the forecast performance in 16 NYSE stocks …