has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …