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

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …