leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …

, credit risk and implied volatility, have high explanatory power in regard to stock returns. Especially the returns of …

' volatility, skewness, and kurtosis are strongly related to subsequent returns. Specifically, we find a negative relation between … volatility and returns in thecross-section. We also find a significant relation between skewness and returns, with more …

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …