. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

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 …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

inefficiencies (assuming that they exist) can be exploited for profit …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms' export intensity. We also uncover evidence consistent …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …