We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

The present study investigates the performance of the k nearest neighbor (kNN) forecasts in the context of European tourism demand. The forecasting performance of neural networks is examined across different parameterizations of the kNN model. The selection of the most appropriate kNN...