into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased … correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is … that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and …

long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …