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 …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states … low returns and alphas in firms with high idiosyncratic volatility …

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …