We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain volatility changes over time for both the S&P500 and FTSE100 indices. The period of analysis spanned from January 2000 to June 2017 incorporating various market phases, such as booms and crashes. Based on the estimated regressions, we found evidence that the returns of S&P500 and FTSE100 indices were well explained by a specific group of realized measure estimators, and the returns negatively affected realized volatility. These results are highly recommended to financial analysts dealing with high frequency data and volatility modelling.

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.

The aim of our study was to determine COVID-19 syndromic phenotypes in a data-driven manner using the survey results based on survey results from Carnegie Mellon University’s Delphi Group. Monthly survey results (>1 million responders per month; 320,326 responders with a certain COVID-19 test status and disease duration 75%. These scores, along with symptom duration, were subsequently used by the Two Step Clustering algorithm to produce symptom clusters. Post-hoc logistic regression models adjusting for age, gender, and comorbidities and confirmatory linear principal components analyses were used to further explore the data. Model creation, based on August’s 66,165 included responders, was subsequently validated in data from March–December 2020. Five validated COVID-19 syndromes were identified in August: 1. Afebrile (0%), Non-Coughing (0%), Oligosymptomatic (ANCOS); 2. Febrile (100%) Multisymptomatic (FMS); 3. Afebrile (0%) Coughing (100%) Oligosymptomatic (ACOS); 4. Oligosymptomatic with additional self-described symptoms (100%; OSDS); 5. Olfaction/Gustatory Impairment Predominant (100%; OGIP). Our findings indicate that the COVID-19 spectrum may be undetectable when applying current disease definitions focusing on respiratory symptoms alone.

The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.