describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

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

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …