The extant literature on green finance is mainly about its contribution to financing the
transition to a low-carbon economy and the benefits it has brought to financial market …

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

This paper provides (i) a review of the existing literature on the metaverse and (ii) an
empirical assessment of the current state of the Web3 meta-economy, with the focus on …

This new edition updates Durbin & Koopman's important text on the state space approach to
time series analysis. The distinguishing feature of state space time series models is that …

We introduce sixteen HAR-type volatility models with structural breaks and estimate their
parameters by applying 5-min high-frequency transaction data for WTI crude oil futures. We …

A growing literature documents important gains in asset return volatility forecasting via use
of realized variation measures constructed from high-frequency returns. We progress by …

In this study, we forecast the realized volatility of the S&P 500 index using the
heterogeneous autoregressive model for realized volatility (HAR-RV) and its various …

We study market microstructure noise in high-frequency data and analyze its implications for
the realized variance (RV) under a general specification for the noise. We show that kernel …

This paper extends the work of Kang et al.(2009). We use a greater number of linear and
nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models …

Given the growing need for managing financial risk, risk prediction plays an increasing role
in banking and finance. In this study we compare the out-of-sample performance of existing …