Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Volatility has been one of the most active and successful areas of research in time series
econometrics and economic forecasting in recent decades. This chapter provides a selective …

This study investigates the impact of COVID-19 pandemic on the microstructure of US equity
markets. In particular, we explain the liquidity and volatility dynamics via indexes that …

We employ an event study method to examine the impacts of the collapse of a prominent
tech industry bank, Silicon Valley Bank (SVB), on global stock markets. The collapse …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX
and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find …

We use LASSO methods to shrink, select, and estimate the high‐dimensional network
linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize …

This paper focuses on the prediction of cryptocurrency volatility. The stock market volatility
represents a very influential aspect that affects a wide range of decisions in business and …

The spillover effect is an important factor affecting the volatility of crude oil price. Basing on
the study of Diebold and Yilmaz (2009, 2012, 2014), we propose a new method that …

We characterize equity return volatility connectedness in the network of major American and
European financial institutions, 2004–2014. Our methods enable precise characterization of …

Earlier studies evidence that oil price shocks have significant impacts on clean energy stock
returns. While the previous literature uses traditional oil price series to investigate such …