This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to … estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model … is also found that the daily volatility risk premium presents a quite volatile behavior over time; however, our evidence …

examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order …

represents an important innovation, the fundamental purpose of which is to reduce the volatility of stocks and thus improve their … subjected to empirical evaluation. To do so, the effect that this innovation has had on the indicators of liquidity, returns and … volatility of the stocks involved is examined, using parametric and nonparametric tests and employing a methodology based on the …

¿ market value, and to examine its influence on volatility. The sample used contains all the firms that, while trading in the … certification. To estimate the variation in volatility, we have used four tests, two parametric, one non-parametric and a proposal … certification, increasing also volatility. El objetivo del presente estudio consiste en analizar el impacto que la publicación de la …

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering … model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises … themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which …