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 …

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 …

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the … informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices and in … improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are …

glut" observed in the era of advancing financial globalization. The supposed paradox is that the developing world has … States' position as issuer of the world's premiere reserve currency and supremacy in global finance explain the related …

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most … important determinants of reserve volatility. These results are robust for a range of control variables, including monetary …