assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main … trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective … volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …