The volatility of returns plays a pivotal role in modern finance and an accurate evaluation of this parameter is crucial in portfolio and risk management decisions. Until quite recent it was common practice in the literature to use the squared return as proxy of volatility. However, as pointed...

This paper proposes a new approach to estimate the overnight volatility of an individual stock return. Since markets generally do not trade during the overnight period, measures of realized volatility cannot be computed on a “high-frequency” basis. Some studies have resorted to using the...

This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it...