perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

stochastic volatility model, finding that the approach is efficient and effective. Applications to continuous time finance models …

and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …

do not support long memory behaviour for the stock market returns. However, FIGARCH model indicate that volatility of … market returns has long memory. Moreover, in order to test the feature of long memory in the return and volatility of the …. Predictable structure of volatility of Pakistan Stock Market display that this market is the weak-form market inefficiency …

and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …