volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

properties of the Dow Jones Islamic Stock Market Index (DJIM) and explore its volatility dynamics using a number of up … traditional asset classes, and estimation results and forecasting performance for various volatility models are also in line with …

prop- erties of the Dow Jones Islamic Stock Market Index (DJIM) and ex- plore its volatility dynamics using a number of up …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …