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; …

Purpose The increasing globalization and technological advancements have increased the
information spillover on stock markets from various variables. However, there is a dearth of a …

In this paper, we use a set of newly introduced implied volatility indexes to investigate the
directional connectedness between oil and equities in eleven major stock exchanges …

This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in
terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We …

A voluminous literature has emerged for modeling the temporal dependencies in financial
market volatility using ARCH and stochastic volatility models. While most of these studies …

We compare 330 ARCH‐type models in terms of their ability to describe the conditional
variance. The models are compared out‐of‐sample using DM–$ exchange rate data and …

Using high-frequency data on deutschemark and yen returns against the dollar, we construct
model-free estimates of daily exchange rate volatility and correlation that cover an entire …

It is a common practice in finance to estimate volatility from the sum of frequently sampled
squared returns. However, market microstructure poses challenges to this estimation …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Behavioral finance is the study of how psychology affects financial decision making and
financial markets. It is increasingly becoming the common way of understanding investor …