...Cheoljun Eom; Taisei Kaizoj; Jong Won Park; Enrico Scalas This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates...

... are robust to controls for various firm characteristics such as size and book-to-market. Little evidence exists that either the realized volatility or the realized kurtosis is significantly related to next week’s returns. © 2016 Emerald Publishing Limited 2016 This article is published under...

...Jeehye Kim; Kook-Hyun Chang In this paper, we examine which volatility estimation model best explains KOSPI200-realized volatility in the Korean stock market, which has both heteroscedasticity and jump risk. The sample covers from July 1, 2010 to July 31, 2014, which is a low-volatility period...

...Shiyong Yoo; Jung Yang Koh This paper tried to find out whether the information from foreign capital markets can improve the forecasting power for the realized volatility of KOSPI200 index. The realized volatility is estimated by using both daily return series and 5 minutes intraday data...