The paper examines the extent to which the conditional volatility of stock market returns in a small, internationally integrated stock market are related to the conditional volatility of financial and business cycle variables. It employs a low frequency monthly dataset for Australia including...

We examine the role of trading volumes in Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-based tests of the Mixture of Distributions Hypothesis (MDH) on firm-level data for the 20 largest Fortune 500 stocks. In doing so, we provide a set of increasingly generalized nested...

Although the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany,...