shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra … with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show …

openness is associated with bigger governments if (i) the price volatility of a country's export basket is substantial and (ii … (accounting for approximately 96 percent of world population) from 2000-2016 is consistent with this hypothesis. Exploring areas … subject to high price volatility on the global market. …

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility … observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

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 … ; volatility ; stock market ; transition …

volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the … particularly severe Covid-19 conditions decrease returns in the non-G7 countries whilst increase volatility in the G7 ones. Fiscal …