volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the … evolution of CDS spreads is analyzed along with the level of the equity market and a well-chosen implied volatility index. We … leptokurtosis are captured. Incidentally, the sensitivity of aggregate CDS spreads to equity market price and volatility channels …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

volatility of common stocks at the market, industry and firm levels. We find market volatility, on average, is the highest while … firm volatility tends to lead to market and industry volatility series. None long-term trend time series behaviour exists … for all three volatility series and firm volatility is best described by an autoregressive process with regime shifts …