This study extends the HAR-RV model to detailedly compare the role of leverage effects,
jumps, and overnight information in predicting the realized volatilities (RV) of 21 …

We construct a multivariate heterogeneous autoregressive model specified with common
stochastic volatility and the student-t distribution, the MHAR-CSV-t model, to investigate co …

This study comprehensively examines the economic and financial drivers of volatility
changes in terms of a cross-country perspective. We review a wide range of studies related …

We construct a MHAR-DCC model to investigate the high-frequency volatility transmission
across international stock markets. We use the overnight volatility estimator to eliminate the …

In this study, we forecast the realized range-based volatility (RRV) using the heterogeneous
autoregressive realized range-based volatility (HAR-RRV) model and its various extensions …

Forecast methods for realized volatilities are reviewed. Basic theoretical and empirical
features of realized volatilities as well as versions of estimators of realized volatility are …

We study the potential merits of using trading and non-trading period market volatilities to
model and forecast the stock volatility over the next one to 22 days. We demonstrate the role …

This study examines the possible impacts of various market shocks, covering oil-related
regular news releases and extreme shocks on the intraday and overnight variations in tail …

This study compares various approaches for incorporating the overnight information flow for
forecasting realized volatility of the Australian index ASX 200 and seven very liquid …

In view of the growing concern of Chinese stock fluctuation, this paper forecasts the Chinese
stock volatility by extracting global stock information by combining forecasts of time-varying …