The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

flows, and examines its incremental role in explaining stock return volatility. We suggest that “other information” contains … timely basis than dividends or earnings. The link between “other information” and volatility can be derived from a … Ohlson's (1995) linear information dynamics. Using standardized regressions we find volatility increases when current “other …

with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …