to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market …

, with a goal of generating accurate volatility forecasts. Intraday stock volatility exhibits long tails, persistence, and …

We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is … capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …

We propose a new test to measure asymmetry in volatility based on daily opening, high, low and closing prices. The test … volatility using Heston model. Our simulation study give credence to the hypothesis that Heston Model can capture the asymmetry … in volatility. We believe that this novel specification approach will add to the body of knowledge on the study of …

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …