This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014) connectedness index with the time-varying parameter vector...

The research in this paper is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD). We develop new option pricing models using multi-factor diffusion approximations couched within this theoretical framework and examine their...

In this study, we document interesting properties of cryptoassets and empirically investigate the dynamic correlations between six major stablecoins and Bitcoin. It is evident that volatilities of Bitcoin and stablecoin returns exhibit asymmetric responses to good and bad news. We evaluate...

During the last few decades, the political instability has increased to a great extent in Pakistan, which may intensify the investors’ fear and affects the decisions of investment in the long run. Therefore, it is essential to explore how the stock market reacts to political stability and to...

Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the...

In this paper we make use of option-implied volatilities to build a time-varying implied correlation matrix. Then, we use this matrix to estimate jointly both the covariance matrix of the returns and the implied covariance matrix dynamics. Finally, we do a backtest and show that the proposed...

Gold has also been a store of value and hedge against economic shocks for citizens and even nations for centuries. This paper explores the unpredictable nature of exchange rate volatility and if any relationship or influence exists, on the price of gold on the world market. Using GARCH models we...

This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV in the last half an hour before the day trading close (LH), we decompose the whole trading period into several intervals. RVs in day trading intervals can predict the RV in LH,...

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a...