We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

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 …

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the … United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series … breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion …

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i ….e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are …

countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in …

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …