This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data … estimate of volatility to the application in which it will be used. For example, if the volatility measure will be used in a … volatility. We use methods from machine learning to estimate optimal “bespoke” RVs for heterogeneous autoregressive (HAR) and …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …

volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … tourists. The empirical results show asymmetric impacts of positive and negative shocks on the volatility of the change in the … number of Group-type and Medical-type tourists, while Individual-type tourists display a symmetric volatility pattern …

world and other sectors, depending on market states. On the other hand, oil market volatility (OVX) adversely affects all …