characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence … higher degree of persistence in the case of green stock prices vis-à-vis brown ones, although the differences are not …

on the four largest international stock markets. In particular, we document the persistence in large (positive or … domestic volatility after good shocks but a bad hedge after crashes …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

that many of the global predictors have a weak explanatory power when they are individually regressed against the world …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive … the negative effect of the inclu-sion in the DJSI World. While we do not find significant average cumulative abnormal … returns for the inclusion in the DJSI STOXX, the inclusion in the DJSI World leads to strong nega-tive impacts. This suggests …