This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …

model specifications, volatility effects and other robustness considerations continue to support our results. These results …

cryptocurrencies and stock markets, which depends on the extent and persistence of responses to own and cross shocks. To improve the …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …