Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect …

market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly … frequency. The measures of daily volatility are realized-volatility at high frequency (normalized squared return), conditional-volatility … recovered from a stochastic volatility model, and implied-volatility deduced from options prices. Positive shocks to aggregate …