Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

may generate the growth of market instability, risks, and uncertainty …

discrimination, however, such equilibria can arise solely from the influence of asset price volatility on participants strategically … correlated with the degree of price volatility exhibited by the otherwise similar assets being financed by members of each of …

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual … spikes in firm-specific price volatility, a pattern that poses a puzzle in terms of existing financial theory. The most … difficult economic times. This discovery of a long history of crisis-induced spikes in firm-specific price volatility has …