returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …