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

market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system … throughput can significantly improve the predictability of Bitcoin market returns and volatility using network flow complexity …

We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index …, irrespective of the bear and bull market cycles. We also find that this relation is asymmetric in nature i.e. volatility spikes are … to market movements as per the "volatility feedback hypothesis" holding during bear periods only in developed countries …

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope …

the study of the distribution properties of price volatility in the international exchange market …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …