This article empirically examines the time-varying risk return relationship and the impact of institutional factors such as circuit breaker on volatility for the emerging equity market of Bangladesh [namely The Dhaka Stock Exchange (DSE)] using daily and weekly stock returns. The DSE equity...

This paper investigates the interaction between real stock returns and economic activity using a new econometric technique that suggests postwar US industrial production is best characterized as broken trend stationary rather than first difference stationary. This result, however, has little...

This paper compares the forecasting performance of the range-based stochastic volatility model with a number of other well-known forecasting models. Each forecasting model is applied to a financial data set that includes daily futures prices on, the S&P 500, ten year US government bond series,...