This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …