Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61 …% and that of the volatility-managed momentum strategy (Barosso and Santa-Clara, 2015) by 20% for US stocks. The returns of … our strategy generate a slightly positive skewness in contrast with the negative skewness of the WML and volatility …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …

Exchange (LSE); belongs to USA, India and UK respectively. In this study the researcher has established the relationship …

quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the …