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Overnight News and Daily Equity Trading Risk Limits
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Does the option market produce superior forecasts of noise‐corrected volatility measures?
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Forecasting realized volatility: a Bayesian model‐averaging approach
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On forecasting daily stock volatility: The role of intraday information and market conditions
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Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
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Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction
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Overnight stock returns and realized volatility
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Volatility forecasting: Intra-day versus inter-day models
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A note on the importance of overnight information in risk management models
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.11.007openalex-snapshot
Long Memory in Volatility and Trading Volume
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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Data-based ranking of realised volatility estimators
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Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
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Modelling daily Value-at-Risk using realized volatility and ARCH type models
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
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Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
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A comparison of trading and non-trading mechanisms for price discovery
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The distribution of realized stock return volatility
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Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
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Testing and comparing Value-at-Risk measures
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Realized volatility in the futures markets
inferredcites →https://doi.org/10.1080/07350015.1995.10524612openalex-snapshot
Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash
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The Volatility of Realized Volatility
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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
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Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
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A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
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Value-at-Risk Prediction: A Comparison of Alternative Strategies
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A Simple Approximate Long-Memory Model of Realized Volatility
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Comparison of Volatility Measures: a Risk Management Perspective
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Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing
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Stock Market Structure and Volatility
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Intraday Volatility in the Stock Index and Stock Index Futures Markets
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Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
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Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1111/0022-1082.00207openalex-snapshot
Trading and Returns under Periodic Market Closures
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
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Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00718.xopenalex-snapshot
Tests of Conditional Predictive Ability
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03495.xopenalex-snapshot
A Theory of Common Stock Returns Over Trading and Non-Trading Periods
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb03705.xopenalex-snapshot
An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03749.xopenalex-snapshot
Measuring the Information Content of Stock Trades
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb02451.xopenalex-snapshot
A Theory of the Dynamics of Security Returns around Market Closures
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Basel Committee On Banking Supervision
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The Distribution of Realized Exchange Rate Volatility
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Dynamic Conditional Correlation
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Evaluation and Combination of Conditional Quantile Forecasts
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Gaussian Semiparametric Estimation of Long Range Dependence
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Evaluating Value-at-Risk Models with Desk-Level Data
inferredcites →https://doi.org/10.2139/ssrn.1004081openalex-snapshot
Return Differences between Trading and Non-Trading Hours: Like Night and Day
inferredcites →https://doi.org/10.2139/ssrn.1510069openalex-snapshot
Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for
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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For
inferredcites →https://doi.org/10.2139/ssrn.236998openalex-snapshot
Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models
inferredcites →https://doi.org/10.2139/ssrn.267791openalex-snapshot
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-snapshot
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2307/1392383openalex-snapshot
Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impacts of "Big Bang" and the 1987 Stock-Market Crash
inferredcites →https://doi.org/10.2307/2171956openalex-snapshot
Asymptotic Inference about Predictive Ability
inferredcites →https://doi.org/10.2307/2527340openalex-snapshot
Regression-Based Tests of Predictive Ability
inferredcites →https://doi.org/10.2307/3595014openalex-snapshot
Does Market Structure Affect the Immediacy of Stock Price Responses to News?
inferredcites →https://doi.org/10.2307/3665900openalex-snapshot
Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases
inferredcites →https://doi.org/10.3917/fina.331.0079openalex-snapshot
Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
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Discovering the Drivers of Stock Market Volatility in a Data-Rich World
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Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions
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Optimal Futures Hedging Under Distinct Daytime and Overnight GARCH Processes: Leveraging Information FROM Opening, High, Low, and Closing Prices
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Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
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Volatility forecasting using related markets’ information for the Tokyo stock exchange
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Does systematic risk change when markets close? An analysis using stocks’ beta
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Overnight stock returns and realized volatility
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Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?
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Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
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Discovering the drivers of stock market volatility in a data-rich world
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Momentum and reversal strategies in Chinese commodity futures markets
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Betting against beta with intraday and overnight signals
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Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization
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Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆
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Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers
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Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate
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FARVaR: Functional Autoregressive Value-at-Risk*
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Empirical differences between the overnight and day trading hour returns
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Tweets versus broadsheets: Sentiment impact on stock markets around the world
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State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
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DYNAMIC INTERCONNECTEDNESS AND RISK CONTAGION AMONG ASIAN FINANCIAL MARKETS
inferred← citeshttps://doi.org/10.2139/ssrn.1945687openalex-snapshot
Overnight Returns and Realized Volatility
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The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction
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Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
inferred← citeshttps://doi.org/10.3390/jrfm9030010openalex-snapshot
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
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THE RUSSELL 2000 STOCK INDEX PRACTICE AND PROMISES IN THE RUSSIAN MARKET
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