This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate … model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian … stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform …

We study the relationship between the volatility and the price of stocks and the impact that variables such as past … volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The … results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also …

are similar in nature. The equity premium has been higher in Brazil than in the U.S., but the much higher Brazilian … volatility discourages heavier investments in stocks …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …