Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks
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 …
regular news releases and extreme shocks on the intraday and overnight variations in tail …
[HTML][HTML] A gentle reminder: Should returns be interpreted as log differences?
DI Okorie - International Review of Financial Analysis, 2025 - Elsevier
It is rather a norm for researchers to directly use the log difference of an asset price to
compute returns. Just like using ln X+ 1 to avoid taking the natural logarithm of zero (s) …
compute returns. Just like using ln X+ 1 to avoid taking the natural logarithm of zero (s) …