follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …Financial market spillovers around the globeThis paper investigates the transmission of return and volatility … contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms …

With the recent availability of high-frequency Financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …

to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …

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 …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

differences of opinion is left, and hence volatility is decreased. …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

differences of opinion is left, and hence volatility is decreased. …