We utilize the mixed exponential power asymmetric GARCH model where each component exhibits asymmetric conditional …

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the …

returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to …, within which the returns have a positive relationship with the volatility, and the volatility is lower and more persistent …

characterized by dramatic currency volatility. Burdens on the NYSE and home market to restore price parity for cross-listed stocks …

Buy-Write and Put-Write strategies have been shown to match market returns with lower volatility resulting in higher … risk-adjusted performance. The strategies benefit from the fact that implied volatility of options is generally higher than … actual realized volatility. In this paper we show that this premium is higher at elevated levels of implied volatility (as …

We examine the intraday returns and volatility in the US equity market amid the COVID-19 pandemic crisis. Our empirical … results suggest increase in volatility overtime with mostly negative returns and higher volatility in last trading session of … stock returns and realised volatility …

-specific return volatility. It's found that the absolute level of firm-specific volatility is rising, while the weight of firm …-specific volatility is decreasing, which implies declining information efficiency of the market. Furthermore, firm's product market power … could reduce firm-specific volatility significantly. It means the more and more increased competition in product market …

the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday …