volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …

-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and … volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and … volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

We find that the idiosyncratic volatility (IVOL) puzzle exists only among firms that under-perform their benchmark or …