market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a … properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and …Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six …

We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

between 1959 and 1965. Following his Habilitation in 1964, he was appointed to the chair of Statistics and Econometrics at the … Department of Statistics of the University of Waterloo, Canada, in 1970/71. He has been a full professor of Econometrics and … work he has published outstanding, original articles on econometrics and statistics. To give an ex­ ample, it is his …