Measurement errors and structural breaks are important factors affecting the forecasting accurancy of volatility in the oil futures market. To capture these key points in one uniform forecasting model, we propose the MRS-HARQ-type model by simultaneously introducing the modification of...

This paper studies the transmission of oil price uncertainty (OPU) to real economic activities by focusing on the role of financial condition. We find that financial stress is an important link in the propagation of OPU based on China's macro and firm-level data. We document significant decrease...

We evaluate the impact of complexity and content of new information on stock return volatility dynamics around 10-K fillings. On average, return volatility increases by 0.4% in the first four weeks after the release of the report, followed by a 2.6% decrease in the subsequent six weeks. This...

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...