The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central …-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds … to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML …

This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among … higher in Latin America. There is evidence of significant leverage effects and volatility persistence and, in the cases of …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …