seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric … evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News … impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock …

market volatility proxies seem to be valid measures of uncertainty whereas probability forecast measures are not. This result …

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …