, 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 …

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 …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

We analyze whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the … specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the … results using a macroeconomic and fundamental based asset pricing model using three proxies of volatility and uncertainty …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …