This paper analyzes stock market volatility for the financial industry after the TARP (Troubled Asset Relief Program …) legislation was passed. The purpose of this paper is to determine how TARP money affected short-term volatility of the market … measure volatility by employing the following methods: in order to measure intraday volatility, Parkinson (1980) and Garman …

The volatility of financial markets has been a relevant topic for transition economies, as the countries of Central and … Eastern Europe and the former Soviet Union have seemingly endured high levels of volatility in their financial sectors during … the transition process. But what have been the determinants of this financial volatility? This paper posits that …

The volatility of financial markets has been a relevant topic for transition economies, as the countries of Central and … Eastern Europe and the former Soviet Union have seemingly en-dured high levels of volatility in their financial sectors during … the transition process. But what have been the determinants of this financial volatility? This paper posits that …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

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 …

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 …

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 …

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 …

We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy …. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty …