The extant literature on green finance is mainly about its contribution to financing the
transition to a low-carbon economy and the benefits it has brought to financial market …

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; …

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 …

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 …

We decompose the squared VIX index, derived from US S&P500 options prices, into the
conditional variance of stock returns and the equity variance premium. We evaluate a …

Despite their strong positive average returns across numerous asset classes, momentum
strategies can experience infrequent and persistent strings of negative returns. These …

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 …

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 examine “realized” daily equity return volatilities and correlations obtained from high-
frequency intraday transaction prices on individual stocks in the Dow Jones Industrial …

We inspect how accurate machine learning (ML) is at forecasting realized variance of the
Dow Jones Industrial Average index constituents. We compare several ML algorithms …