Research outputs
Selected research outputs
- Tail risk and asset prices in the short-term (Journal article - 2026)
- Testing for Differences in High-Frequency Network Connectedness from Variance Decompositions (Journal article - 2026)
- Uncovering the asymmetric information content of high-frequency options (Journal article - 2026)
- Forecasting the Realized Variance in the Presence of Intraday Periodicity (Journal article - 2025)
2026
Uncovering the asymmetric information content of high-frequency options
Alexiou, L., Bevilacqua, M., & Hizmeri, R. (2026). Uncovering the asymmetric information content of high-frequency options. JOURNAL OF BANKING & FINANCE, 188, 20 pages. doi:10.1016/j.jbankfin.2026.107720
Tail risk and asset prices in the short-term
Almeida, C., Freire, G., Garcia, R., & Hizmeri, R. (2026). Tail risk and asset prices in the short-term. Review of Finance, rfag014. doi:10.1093/rof/rfag014
Testing for Differences in High-Frequency Network Connectedness from Variance Decompositions
Bevilacqua, M., Ellington, M., & Hizmeri, R. (2026). Testing for differences in high-frequency network connectedness from variance decompositions. JOURNAL OF ECONOMETRICS, 256, 26 pages. doi:10.1016/j.jeconom.2026.106238
2025
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
Hizmeri, R., Izzeldin, M., & Urga, G. (2025). Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. JOURNAL OF EMPIRICAL FINANCE, 81, 20 pages. doi:10.1016/j.jempfin.2025.101594
Forecasting the Realized Variance in the Presence of Intraday Periodicity
Hizmeri Canales, R., Izzeldin, M., & Dumitru, A. -M. (2024). Forecasting the Realized Variance in the Presence of Intraday Periodicity. Journal of Banking & Finance. Retrieved from https://doi.org/10.1016/j.jbankfin.2024.107342
2022
The contribution of jump signs and activity to forecasting stock price volatility
Bu, R., Hizmeri, R., Izzeldin, M., Murphy, A., & Tsionas, M. (2023). The contribution of jump signs and activity to forecasting stock price volatility. JOURNAL OF EMPIRICAL FINANCE, 70, 144-164. doi:10.1016/j.jempfin.2022.12.001
A generalized heterogeneous autoregressive model using market information
Hizmeri, R., Izzeldin, M., Nolte, I., & Pappas, V. (2022). A generalized heterogeneous autoregressive model using market information. QUANTITATIVE FINANCE, 22(8), 1513-1534. doi:10.1080/14697688.2022.2076606
Tail Risk and Asset Prices in the Short-term
Almeida, C., Freire, G., Garcia, R., & Hizmeri, R. (2022). Tail Risk and Asset Prices in the Short-term. doi:10.2139/ssrn.4216981