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Overnight information and stochastic volatility: A study of European and US stock exchanges

16 references·12 citing·52 second hopsampled

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References

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1999

Price Discovery and Learning during the Preopening Period in the Paris Bourse

379 cited

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2013Overnight stock returns and realized volatility68 cited
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2019Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?31 cited
2014The fine structure of volatility feedback II: Overnight and intra-day effects30 cited
2015Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange27 cited
2013Asymmetric Information and Volatility Forecasting in Commodity Futures Markets26 cited
2022Opening price manipulation and its value influences25 cited