We test for and model the volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intra-day data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various...

Purpose: Motivated by recent evidence that securitized real estate returns exhibit higher levels of predictability than stock market returns and that feedback trading (FT) can induce returns autocorrelation and market volatility, the purpose of this study is to examine the impact of FT...

Purpose: The purpose of this paper is to examine the inter-relations among the US stock indices. Design/methodology/approach: Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model....