In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between … volatility of all three indices. The results for returns are contradictory with several studies which claim that developing …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

both current and past market returns. Using various time-varying volatility models to accommodate conditional … causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … is not uniform across the distributionof the volatility-price return pairs using quantile regressions. We examine …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …