resources affect the domestic inflation and stock market. Expectations on future volatility in these prices might lead to … changes in the expected (implied) volatility of the Indian stock market. Unlike prior studies, we use implied volatility … volatilities of gold and oil on the implied volatility of the Indian stock market. Interestingly, there is evidence of an inverse …

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

to changes in oil prices, after controlling for volatility and price dynamics in a multivariate GARCH context. In other … words, adjustment in mean equations is faster in the presence of positive shocks. In addition, we find that volatility …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …

volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk …

Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect …