measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to …

increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC … press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

Rogers-Satchell (RS) measure is an efficient volatility measure. This paper proposes quantile RS (QRS) measure to … on Standard and Poor 500 and Dow Jones Industrial Average indices show that volatility estimates using QRS measures …-of-sample forecast. For return models, the constant mean structure with Student-t errors and QRS volatility estimates provides the best …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …