Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

This article reviews the exciting and rapidly expanding literature on realized volatility. After
presenting a general univariate framework for estimating realized volatilities, a simple …

We test for the existence of volatility spillovers and co-movements among energy-focused
corporations during the outbreak of the COVID-19 pandemic, inclusive of the April 2020 …

In this paper, we investigate the stochastic properties of six major cryptocurrencies and their
bilateral linkages with six stock market indices using fractional integration techniques. From …

Estimating volatility from recent high frequency data, we revisit the question of the
smoothness of the volatility process. Our main result is that log-volatility behaves essentially …

The major aim of this paper is to analyze the influence of the recent Russia–Ukraine war on
the volatility dynamics of the natural gas market for the 1 June 2011–31 December 2022 …

Written for those who need an introduction, Applied Time Series Analysis reviews
applications of the popular econometric analysis technique across disciplines. Carefully …

We examine the record of cross-country growth over the past fifty years and ask if
developing countries have made progress on closing the income gap between their per …

In this article we are interested in understanding the dynamics of Bitcoin daily returns and
volatility. Cryptocurrencies have very high unconditional volatility, and are subject to sudden …

Long-memory, or more generally fractal, processes are known to play an important role in
many scientific disciplines and applied fields such as physics, geophysics, hydrology …