estate investment trusts (REITs) as well as of their volatility between them for the Greek banking system using the … the real estate loan sector, whereas the volatility relationship allows for the investigation of the direction of risk …

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative … volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility … standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to …

expected stock returns and volatility in emerging stock markets. The 1997¡V1998 global emerging market crisis seems to induce …

In our paper we use data mining to compare the volatility structure of high (daily) and low (weekly, monthly … (on our data) the theoretical hypothesis that an increase in volatility leads to a rise in future returns, mainly because …

stock returns; and volatility persistence can significantly improve the common risk factors' impact in explaining the time …. A general equilibrium model that incorporates volatility exposure in a Fama-French framework would be a challenging task … common stocks is widely known, the approach is the very first that extends its support with respect to volatility models. …

volatility in Nigeria.  The data sets on monthly All Shares Index Prices of NSE, and consumers’ price index (CPI) cover the …, inflation volatility exerts significant positive impact on stock market returns and during the global financial crises … its volatility have negative effects on the volatility of stock market returns, though significant for inflation and …

Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional …