This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …

any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …