volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

, with pricing errors of similar magnitude as the risk premiums they were designed to explain. We trace the errors to the …

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series … and active management. The paper addresses this direction by introducing the volatility-timed winners approach that … momentum and MSCI momentum indexes. The corresponding analysis generalized existing volatility scaling strategies and brought …

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …. Finally, we simulate 10,000 portfolios and estimate value at risk (VaR) and Expected shortfall (ES). The empirical results …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …