This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

is more certain seasonality on expected returns or in volatility. The conclusion is that we reject all calendar effects … higher seasonality in volatility rather on expected returns, concerning the day of the week and the month of the year effects …

literature, due to some important applications in finance, for example, estimating the integrated volatility and integrated …

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 …

We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic … volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated … stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and …