with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple … predictability hypothesis, suggesting that time-aggregation of dividends eliminates significant information …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

predictability of P/C depends on the investors: institutional and individual investors' P/C ratios are not related to returns, but …

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …