allows the relevance of the risk-return trade-off and autocorrelation to change over time. The model detects a positive risk …-return relation, but the importance of the risk-return relation fluctuates with the level of information flow, measured by volatility …. During low-volatility periods, market-wide persistence in returns increases, leading to a failure of the pure risk …

itself as an inverse relationship between first order autocorrelations and volatility. While this relationship is …

This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative … indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by … managed to eliminate all traces of statistically significant autocorrelation and ARCH effects from the residuals from daily …

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the … information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases …

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by … proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …

exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each …

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by … proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …

econometric problem of volatility forecasting for a portfolio of a number of selected returns. The discussion complicates given … group of models that measures volatility. As such, forecasted volatility estimates may depend on the model or methodologies … portfolios formed of hundreds or thousands of stocks, for the scope of volatility (and therefore risk) forecasting, PCGARCH is …