This paper investigates whether geopolitical risks (GPRs) contains incremental information content to predict crude oil futures volatility under high-frequency Heterogeneous Autoregressive (HAR) model specifications. Moreover, considering structural breaks in crude oil volatility, we extend the...

The present study analyses the volatility spillover of exchange rate on South African Stock Market.The Capital market of South Africa has yardstick of African markets. The economic factors arecrucially impacting the returns of stock of South Africa. The study collected data fromJohannesburg...

This paper expands the emerging literature on volatility forecasting for China’s oil market by exploring the predictive ability of higher-order moments (skewness, kurtosis, hyperskewness, and hyperkurtosis) based on high-frequency data. Our investigation is originally based on the...

This article mainly studies the crude oil volatility index (OVX) forecasting from the perspective of the cross-market asymmetric effects of Chinese stock market jumps. The positive and negative jumps are used to represent the asymmetric shocks which are calculated based on the high-frequency...

Variance-optimal hedging in a discrete-time framework is a practical options strategy that aims to reduce the residual risk. It has been widely used in volatility trading desks. In this paper, we solve the variance-optimal hedging problem for affine GARCH models both semi-explicitly and through...

This paper develops a Bayesian framework for the realized exponential generalized autoregressive conditional heteroskedasticity (realized EGARCH) model and adopts a standardized Student-t and a standardized skewed Student-t distributions for the return equation. The Bayesian estimators show more...

This paper examines the lognormality assumption of per capita, real consumption growth, which is a common assumption in asset pricing models. We found that shocks to household consumption growth are persistent, negatively skewed, and have excess kurtosis. Therefore, we revisited the fundamental...

We provide a thorough analysis of the path-dependent volatility model introduced by Guyon proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form option prices as well as deriving small-time behaviour estimates

Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong)...