Domain
This paper studies how intraday shocks travel across U.S. equities using 7.69 billion one-minute bars covering the full listed and delisted cross-section from 1992 to 2026. Three findings emerge. First, isolated idiosyncratic shocks barely spread: across 1.85 million ±6σ one-minute events, the abnormal share of other…
The paper compares 27 forecasts of daily realized variance (six HAR specifications, GARCH, GJR, EGARCH and Realized GARCH, penalized regressions, random forests, XGBoost and LightGBM on two information sets, an LSTM, a Transformer, a LightGBM pooled across assets, and two combinations) on 25 liquid instruments from…
This paper measures the information content of the implied volatility surface for returns and realized variance in a panel of 69 liquid US underlyings (49 large stocks, 17 ETFs and three equity indices) over 2010–2025, built from 3.83 billion end-of-day option records and 5-minute prices. Option-implied features…
This paper measures how realized volatility is transmitted across equity index futures, major exchange rates, gold and crude oil futures, the VIX, and the two largest cryptocurrencies. Daily realized volatilities are built from 5-minute bars for ten instruments over 2008–2026, and the connectedness of their logarithms…