We propose a semiparametric approach to disentangling the autocovariance of equity returns at high frequency. We assume the observed price consists of an efficient component that follows a nonparametric continuous-time Ito-semimartingale, along with a market microstructure component that follows...

Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a tendency of large changes in asset prices to follow large changes and small changes in asset prices to follow small changes. We tested two hypotheses: (1) firstly, if there is a...

Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world's largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...