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Overnight stock returns and realized volatility

Citations

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Cited by:

  1. Cathy W. S. Chen & Takaaki Koike & Wei‐Hsuan Shau, 2024. "Tail risk forecasting with semiparametric regression models by incorporating overnight information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1492-1512, August.
  2. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
  3. Meng, Xiaochun & Taylor, James W., 2018. "An approximate long-memory range-based approach for value at risk estimation," International Journal of Forecasting, Elsevier, vol. 34(3), pages 377-388.
  4. Dudley Gilder & Leonidas Tsiaras, 2020. "Volatility forecasts embedded in the prices of crude‐oil options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1127-1159, July.
  5. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
  6. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
  7. Xu, Dezhong & Li, Bin & Singh, Tarlok & Chen, Xiaoyue & Li, Jinze, 2025. "Cross-market overnight time-series momentum," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
  8. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
  9. Virbickaitė, Audronė & Lopes, Hedibert F. & Zaharieva, Martina Danielova, 2025. "Multivariate dynamic mixed-frequency density pooling for financial forecasting," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1184-1198.
  10. Opschoor, Anne & Lucas, André, 2021. "Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting," International Journal of Forecasting, Elsevier, vol. 37(2), pages 622-633.
  11. Alketa Bejko & Etleva Peta & Belinda Xarba, 2015. "The Evaluation of the Drafting Process of Regional’s Development Strategies in Albania. the Research on Gjirokastra’s Region," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, ejis_v1_i.
  12. Lai, Yu-Sheng, 2025. "Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization," Journal of Commodity Markets, Elsevier, vol. 38(C).
  13. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
  14. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  15. Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M., 2017. "Forecasting the realized range-based volatility using dynamic model averaging approach," Economic Modelling, Elsevier, vol. 61(C), pages 12-26.
  16. Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, vol. 7(3), pages 1-15, September.
  17. Anne Opschoor & André Lucas, 2019. "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers 19-052/IV, Tinbergen Institute.
  18. Dean Fantazzini & Tamara Shangina, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
  19. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
  20. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2025. "Volatility forecasting and volatility-timing strategies: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 75(C).
  21. Luo, Jiawen & Wang, Shengquan, 2019. "The asymmetric high-frequency volatility transmission across international stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 104-109.
  22. Chu, Xiaojun & Wan, Xinmin & Qiu, Jianying, 2023. "The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  23. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
  24. Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020. "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 1-28, March.
  25. Dohyun Chun & Donggyu Kim, 2022. "State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 105-124, January.
  26. Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024. "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 673-711.
  27. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
  28. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
  29. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
  30. Oktay Ozkan, 2020. "Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 34(2), pages 101-113.
  31. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
  32. Liang, Chao & Li, Yan & Ma, Feng & Wei, Yu, 2021. "Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information," International Review of Financial Analysis, Elsevier, vol. 75(C).
  33. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2016. "Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange," Economic Modelling, Elsevier, vol. 52(PB), pages 592-608.
  34. Vladimir Balash & Alexey Faizliev & Sergei Sidorov & Elena Chistopolskaya, 2021. "Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets," Mathematics, MDPI, vol. 9(19), pages 1-31, October.
  35. Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  36. Si, Yuancheng & Nadarajah, Saralees, 2025. "Fractal insights into overnight and intraday returns: Unraveling global market heterogeneity," Finance Research Letters, Elsevier, vol. 85(PB).
  37. Todorova, Neda & Souček, Michael, 2014. "Overnight information flow and realized volatility forecasting," Finance Research Letters, Elsevier, vol. 11(4), pages 420-428.
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