The price jump behavior may bring tremendous challenges on risk management and asset
pricing. This paper uses the BN-S test, the wavelet coherence method, and applies high …

The issue of successful investment has been addressed since the beginning of the financial
markets. For investors and the academic community, there is a strong motivation to test the …

Corporate governance plays a significant role in monitoring managerial behaviour, and thus
in reducing firm-level risks and increasing firm value. Using a global unbalanced panel of …

This study investigates volatility risk premiums in the USD interest rate swaption market
during the unconventional monetary and pandemic eras. The unconventional monetary …

This paper explores the potential use of machine learning models in crude oil realized
volatility forecasting through a variety of empirical analyses and robustness checks …