high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

. Applying our model to high-frequency transaction data, we detect two distinct regimes in the intraday volatility process: a … dominant volatility regime that is observable throughout the trading day representing the risk-transferring trading activity of … investors, and a minor volatility regime that concentrates around market liquidity shocks which mainly capture impacts of firm …