We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...

This study is conducted to understand and document the long as well as short-run equilibrium among important macroeconomic indicators and Equity markets (including Islamic and conventional) in post Shari'ah-screening era in Pakistan. We have included seven macroeconomic variables—inflation,...

This study is conducted to understand and document the long as well as short-run equilibrium among important macroeconomic indicators and Equity markets (including Islamic and conventional) in post Shari'ah-screening era in Pakistan. We have included seven macroeconomic variables—inflation,...