model specifications, volatility effects and other robustness considerations continue to support our results. These results …

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 …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators … and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures … volatility spillovers, is combined with complex network theory. Here, we construct a volatility network of international …

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …