We evaluate the forecasting performance of time series models for realized volatility, which
accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects…

In this article we compare volatility forecasts over a thirty‐minute horizon for the spot
exchange rates of the Deutsche mark and the Japanese yen against the US dollar. Explicitly …

Bond carry is the expected return on a bond when the yield curve does not change. The
curve carry strategy within each country constructs buckets based on bond maturities on a …

Hedging short gamma exposure requires trading in the direction of price movements, thereby
creating price momentum. Using intraday returns on over 60 futures on equities, bonds, …

Adopting a narrative approach to resource acquisition research, we examine the effects of
storytelling on a firm's ability to secure capital. We argue that narratives help leverage …

Realized variance, being the summation of squared intra-day returns, has quickly gained
popularity as a measure of daily volatility. Following Parkinson [1980. The extreme value …

Although group cohesion is a widely studied construct in the group dynamics literature, there
is a considerable lack of consistency and agreement regarding the construct. This paper …

In the 24‐hr foreign exchange market, Andersen and Bollerslev measure and forecast
volatility using intraday returns rather than daily returns. Trading in equity markets only occurs …

Recent evidence suggests option implied volatilities provide better forecasts of financial
volatility than time‐series models based on historical daily returns. In this study both the …

The use of close-to-close returns underestimates returns correlation because international
stock markets have different trading hours. With the availability of 16:00 (London time) stock …