there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …

-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for … Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We … document a remarkable high percentage of jumps above 80% . We also find that realized volatility exhibits: (i) long memory; (ii …

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …