We examine the growth of Lodging REIT’s stock market performance and the stock market indices returns in the U.S. and Europe, considering the crash of March 2020 caused by the COVID-19 pandemic. For this purpose, we employed financial risk-adjusted performance measures and two-stage...

The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model's efficacy in capturing volatility clustering, asymmetry, and long-term...

Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of four widely traded cryptocurrencies,...