... and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility. Conghua Wen is the corresponding author and can be contacted at: conghua.wen@xjtlu.edu.cn 11 05 2020 02 09 2020 22 09 2020 © Emerald Publishing...

... Licensed re-use rights only Realized volatility Model bias Volatility forecasting Equity markets C22 C52 C55 Chao Liang is the corresponding author and can be contacted at: liangchaoswjt@163.com The remainder of the paper is organized as follows. Section 2 provides...