We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model....

We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 agricultural commodity prices. To this end, we use high‐frequency data covering the period from 2009 to 2020 to estimate the realized variance along realized skewness, realized...

This paper examines the changes in price and return dynamics that affected the commodity market around the 2007-2008 boom&bust. Relying on data at intra-day frequency and adapting the recently proposed realized Beta GARCH model of Hansen et. al (J. Appl. Econ.(2014)), it is shown that starting...

This papers investigates the change in risk transmission mechanism between commodities as a result of the financialization of the commodity market. Relying on intra-day price observations for 25 commodities traded in the US market, the time series of realized variances/covariances is...

This study examines the relationship between investor sentiment and intraday return dynamics for safe haven assets, with particular focus on crash risk in these assets. Examining intraday returns for a wide range of safe havens proposed in the literature, we find that shocks to investor...