This article exploits a new spillover directional measure proposed by Diebold and Yilmaz
(2009, 2012) to investigate the dynamic spillover of return and volatility between oil and …

This study focuses on predicting stock closing prices by using recurrent neural networks
(RNNs). A long short-term memory (LSTM) model, a type of RNN coupled with stock basic …

The literature on range volatility modeling has been rapidly expanding due to its importance
and applications. This chapter provides alternative price range estimators and discusses …

There has been a rapid growth of range volatility due to the demand of empirical finance.
This paper contains a review of the important development of range volatility, including …

Volatility models based on the daily high-low range have become increasingly popular. The
high and low prices are easily available, yet the range contains very useful information …

We introduce a new specification of the dynamic conditional correlation (DCC) model, where
its parameters are estimated with the use of closing and additionally low and high prices …

Volatility of asset prices in financial market is not directly observable. Return-based models
have been proposed to estimate the volatility using daily closing prices. Recently, many new …

In this paper we analyze volatility spillovers among stock markets of Central and Eastern
European (CEE) countries: Poland, Hungary and the Czech Republic vis-a-vis Germany, the …

The purpose of this paper is to forecast the daily closing prices of stock markets based on
the past sequences. In this paper, keeping in mind the recent trends and the limitations of …

This study investigates the relative performance of alternative extreme-value volatility
estimators based on daily and intraday ranges of the German index DAX 30. As a …