This article and the companion paper aim at reviewing recent empirical and theoretical
developments usually grouped under the term Econophysics. Since the name was coined in …

The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …

This paper provides an up‐to‐date survey of the main theoretical developments in
autoregressive conditional duration (ACD) modeling and empirical studies using financial …

We study price connectedness between the green bond and financial markets using a
structural vector autoregressive (VAR) model that captures direct and indirect transmission …

Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk
management, and hedging strategies. Therefore, accurate prediction of volatility is critical …

We analyze the impact of sentiment and attention variables on the stock market volatility by
using a novel and extensive dataset that combines social media, news articles, information …

From an analysis of the time series of realized variance using recent high-frequency data,
Gatheral et al.[Volatility is rough, 2014] previously showed that the logarithm of realized …

Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the
information flow, we claim that cross-market volatility transmission effects are synonymous to …

Forecasting of the solar irradiance is a key feature in order to increase the penetration rate of
solar energy into the energy grids. Indeed, the anticipation of the fluctuations of the solar …

Accurately predicting volatility has always been the focus of government decision-making
departments, financial regulators and academia. Therefore, it is very crucial to precisely …