Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks

Andersen, 1998, Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review, 39, 885, 10.2307/2527343 Andersen, 2001, The distribution of realized stock return volatility, Journal of Financial Economics, 61, 43, 10.1016/S0304-405X(01)00055-1 Andersen, 2001, The distribution of realized exchange rate volatility, Journal of the American Statistical Association, 96, 42, 10.1198/016214501750332965 Andersen, 2003, Modeling and forecasting realized volatility, Econometrica, 71, 579, 10.1111/1468-0262.00418 Andersen, 1999, Forecasting financial market volatility: sample frequency vis-à-vis forecast horizon, Journal of Empirical Finance, 6, 457, 10.1016/S0927-5398(99)00013-4 Bandi, 2008, Microstructure noise, realized variance, and optimal sampling, Review of Financial Studies, 79, 339 Barclay, 2003, Price discovery and trading after hours, Review of Financial Studies, 16, 1041, 10.1093/rfs/hhg030 Barclay, 2004, Liquidity externalities and adverse selection: evidence from trading after hours, Journal of Finance, 59, 681, 10.1111/j.1540-6261.2004.00646.x Barclay, 2008, A comparison of trading and non-trading mechanisms for price discovery, Journal of Empirical Finance, 15, 839, 10.1016/j.jempfin.2008.03.001 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Bollerslev, 2001, High-frequency data, frequency domain inference, and volatility forecasting, The Review of Economics and Statistics, 83, 596, 10.1162/003465301753237687 Brooks, 1998, Predicting stock index volatility: can market volume help?, Journal of Forecasting, 17, 59, 10.1002/(SICI)1099-131X(199801)17:1<59::AID-FOR676>3.0.CO;2-H Brooks, 2000, A word of caution on calculating market-based minimum capital risk requirements, Journal of Banking and Finance, 24, 1557, 10.1016/S0378-4266(99)00092-8 Cao, 2000, Price discovery without trading: evidence from the NASDAQ preopening, Journal of Finance, 55, 1339, 10.1111/0022-1082.00249 Campbell, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic rick, Journal of Finance, 56, 1, 10.1111/0022-1082.00318 Clark, 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135, 10.2307/1913889 Cumby, 1993, Forecasting volatility and correlations with EGARCH models, The Journal of Derivatives, 10.3905/jod.1993.407877 Easley, 1997, The information content of the trading process, Journal of Empirical Finance, 4, 159, 10.1016/S0927-5398(97)00005-4 Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987, 10.2307/1912773 Figlewski, 1997, Forecasting volatility, Financial Markets, Institutions and Instruments, 6, 1, 10.1111/1468-0416.00009 Fuertes, 2009, On forecasting daily stock volatility: the role of intraday information and market conditions, International Journal of Forecasting, 25, 259, 10.1016/j.ijforecast.2009.01.006 Gallo, 1998, Early news is good news: the effects of market opening on market volatility, Studies in Nonlinear Dynamics and Econometrics, 2, 115 Greene, 1996, Price discovery on the NYSE and the NASDAQ: the case of overnight and daytime news releases, Financial Management, 25, 19, 10.2307/3665900 Hansen, 2004, A forecast comparison of volatility models: does anything beat a GARCH(1, 1) model?, Journal of Applied Econometrics, 20, 873, 10.1002/jae.800 Hansen, 2006, Consistent ranking of volatility models, Journal of Econometrics, 131, 97, 10.1016/j.jeconom.2005.01.005 Jorion, 1995, Predicting volatility in the foreign exchange market, Journal of Finance, 50, 507, 10.2307/2329417 Kalev, 2004, Public information arrival and volatility of intraday stock returns, Journal of Banking and Finance, 28, 1441, 10.1016/S0378-4266(03)00126-2 Lamoureux, 1990, Heteroskedasticity in stock return data: volume versus GARCH effects, Journal of Finance, 45, 221, 10.2307/2328817 Martens, 2002, Measuring and forecasting S&P 500 index-futures volatility using high-frequency data, Journal of Futures Markets, 22, 497, 10.1002/fut.10016 Martens, 2009, Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements, International Journal of Forecasting, 25, 282, 10.1016/j.ijforecast.2009.01.010 Masulis, 2002, Does market structure affect the immediacy of stock price responses to news?, Journal of Financial and Quantitative Analysis, 37, 617, 10.2307/3595014 Mincer, 1969, The evaluation of economic forecasts, 1 Oldfield, 1980, A theory of common stock returns over trading and non-trading periods, Journal of Finance, 35, 729, 10.2307/2327495 Sharma, 1996, Heteroscedasticity in stock market indicator return data: volume versus GARCH effects, Applied Financial Economics, 6, 337, 10.1080/096031096334132 Tauchen, 1983, The price variability-volume relationship on speculative markets, Econometrica, 51, 485, 10.2307/1912002 Taylor, 2007, A note on the importance of overnight information in risk management models, Journal of Banking and Finance, 31, 161, 10.1016/j.jbankfin.2006.01.004 Tsiakas, 2008, Overnight information and stochastic volatility: a study of European and US stock exchanges, Journal of Banking and Finance, 32, 251, 10.1016/j.jbankfin.2007.03.008