microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. As such …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … 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 …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)'s definition of the co-volatility …