volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …

between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility … instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …