volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …

exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control … volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the … return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than …

distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013 … model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the … forecastable component (expected variation) from the best fitted models, we measure the time series of the IIR uncertainty …