Focal Interest
Focal Interest

Realized variance

  1. SOI spillovers were strongest for SAFEX maize
    Time-frequency analysis of Southern Oscillation Index spillovers to grain futures reveals regional asymmetries in climate vulnerability, with SAFEX maize showing significant SOI predictive capacity.
  2. Asymptotic theory of range-based multipower variation
    Realized range-based multipower variation theory for jump-robust volatility estimation in sparse high-frequency asset price data with microstructure noise considerations.