This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock …-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following …. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an …

on the four largest international stock markets. In particular, we document the persistence in large (positive or … domestic volatility after good shocks but a bad hedge after crashes …

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world …. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …

specifications (CCC, DCC and ADCC) to investigate the return and volatility spillovers among price and return series. We use rolling … and volatility connectedness between China and U.S. clean energy stock markets …