Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

Utilising Chinese-developed data based on long-standing influenza indices, and the more
recently-developed coronavirus and face mask indices, we set out to test for the presence of …

Connections among different assets, asset classes, portfolios, and the stocks of individual
institutions are critical in examining financial markets. Interest in financial markets implies …

We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test
statistics in dynamic models that jointly parameterize conditional means and conditional …

The new class of Fractionally Integrated Generalized AutoRegressive Conditionally
Heteroskedastic (FIGARCH) processes is introduced. The conditional variance of the …

We show how bad and good volatility propagate through the forex market, ie, we provide
evidence for asymmetric volatility connectedness on the forex market. Using high-frequency …

The pervasive intraday periodicity in the return volatility in foreign exchange and equity
markets is shown to have a strong impact on the dynamic properties of high frequency …

This paper provides a detailed characterization of the volatility in the deutsche mark–dollar
foreign exchange market using an annual sample of five‐minute returns. The approach …

Using the Investors' Intelligence sentiment index, we employ a generalized autoregressive
conditional heteroscedasticity-in-mean specification to test the impact of noise trader risk on …