hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric …-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most … volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should …

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first … fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not …

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

additional sources of randomness like stochastic volatility models. …