for volatility, correlation and covariance using high frequency financial data. It also implements complementary … paper first presents the issues associated with exploiting high frequency financial data. We then describe the volatility …

between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …

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 …

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …

In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete … binominal thinning operator was used to model the correlation. The model was estimated for correlation in high frequency share …

Various parametric models have been developed to predict large volatility matrices, based on the approximate factor … model structure. They mainly focus on the dynamics of the factor volatility with some finite high-order moment assumptions …. However, the empirical studies have shown that the idiosyncratic volatility also has a dynamic structure and it comprises a …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of … the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …