The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …

Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … volatility trading strategies in the absence of transaction costs. Comparing across competing models, our results suggest that …

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which … in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …