. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend … inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility … day conditional volatility. Our findings support the results of prior studies that traders trade for non …

This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where … co-movement of the Dow Jones' realized volatility and the volume of search queries for its name. Furthermore, search … queries Granger cause volatility: a heightened number of searches today is followed by an increase in volatility tomorrow. We …

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …