, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der …

estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …This study examines the reaction of four major equity markets of the world to the US equity market fear index, i ….e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility …

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …