In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...

Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH models. Data is collected from 11 Religion Dominant...

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and...

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods...

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...

The IPO filing volume is positively related to changes in market volatility, especially when market returns are at ‘normal' levels. This is consistent with the view that filing with the SEC gives would-be issuers an ‘option' on market valuations. Creating this option is attractive not only...

Der Handel mit Optionen gewinnt auf volatileren Agrarmärkten zunehmend an Bedeutung. Nun stellt sich die Frage, ob der Optionshandel ein sinnvolles Instrument zur Risikoabsicherung von Landwirten und Landhändlern darstellt oder ob er vielmehr ein Treiber der Agrarpreisvolatilität ist. Die...

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay production and investment....