and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly … specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in … post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …