This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in … volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore …, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When …

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …