macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

and the specification form of the volatility process when modelling volatility with the parametric GARCH family models …. This paper examines the Chinese stock market volatility and the asymmetric effects in the Chinese stock volatility by a … empirical result from the GAMNP model demonstrates better performance for the volatility forecasts, particularly in the out …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …