This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …

that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using … their net assets). Additionally, issuer-oriented rules in the U.S. and Germany account for issuer risk differently: U ….S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal …

that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using … their net assets). Additionally, issuer-oriented rules in the U.S. and Germany account for issuer risk differently: U ….S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal …

idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law … improve. Idiosyncratic risk is positively related to stock market development but negatively related to bond market …

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … ; volatility ; stock market ; transition …