deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

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 …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the … employing the Gordon Growth Model and using an estimation process for the dividend growth rate that was suggested by Barsky and …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably …

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …