-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state but disappears during … show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility … feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple …

Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of … years. We also show that there has been a structural change in the stock index volatility vs returns relationship …

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 …