Taylor, N. (2007) A Note on the Importance of Overnight Information in Risk Management Models. Journal of Banking & Finance, 31, 161-180.
https://doi.org/10.1016/j.jbankfin.2006.01.004

has been cited by the following article:

• TITLE: Research on the Daily Volatility Measure Considering the Impact of Overnight Variance and Time Segment in Chinese Stock Market

  AUTHORS: Yu Shi, Handong Li

  KEYWORDS: Overnight Volatility, Chinese Stock Market, Realized Volatility

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.3, August 7, 2018

  ABSTRACT: Considering the overnight effect on the stock market, we construct a daily volatility measure that is formed by a linear combination of the three components, namely overnight volatility, morning realized volatility and afternoon realized volatility, and obtain the optimal solution in theory. An empirical work is performed for studying the daily volatility structure of Shanghai stock index and Shenzhen stock index in China’s stock market by using our daily volatility measure. The empirical results show that, the daily volatility measure considering the impact of overnight variance and time segment performs better than original volatility measure.