volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean …-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain … unexplored. This study therefore attempts to investigate the behavior of ZSE stock price and return volatility using the class of …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six … Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

correlation, but UK EPU shocks only affect its own long-run variance. The results are consistent when we include more countries in … correlation, even after accounting for a number of alternative uncertainty measures, and that it performs better out …