with varying volatility i.e. heteroscedacity as well as slowly decaying autocorrelations of squared log returns. These …

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla … mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results … indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

model and show that it is a good fit to Nikkei 225 index call and put option implied volatility (IV). A good model fit … effects should be added to the model: putside implied volatility helps forecast callside IV, and vice versa. Impulse response …