This study analyzes the impact of the COVID-19 pandemic and the Russia-Ukraine war on
the connectedness of lower-order moments (returns and volatility) and higher-order …

This paper analyses multivariate high frequency financial data using realized covariation.
We provide a new asymptotic distribution theory for standard methods such as regression …

This paper looks at some recent work on estimating quadratic variation using realized
variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by …

This paper reviews the theory and applications related to fractionally integrated generalized
autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the …

In this article we argue for a special case of the generalized hyperbolic (GH) family that we
denote as the GH skew Student'st-distribution. This distribution has the important property …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

Index option prices differ systematically from Black–Scholes prices. Out-of-the-money put
prices (and in-the-money call prices) are relatively high compared to the Black–Scholes …

This paper provides a new viewpoint on the time and frequency dynamics of the spillover
effects among eight major world equity market indexes. We extend the Diebold–Yilmaz …

This paper is a survey of estimation techniques for stationary and ergodic diffusion
processes observed at discrete points in time. The reader is introduced to the following …

This paper bridges the gap between traditional ARCH modelling and recent advances on
realized volatilities. Based on a ten‐year sample of five‐minute returns for the ECU basket …