The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …

In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT … respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity … Theory with respect to the finding that skewness in REIT index returns is significantly related to volume …