idiosyncratic stock volatility following acquisitions by foreign investors …

The exchange rate volatility has witnessed a secular decline after the Bretton Woods collapse. We explore the …. We find indeed that the negative association between bilateral foreign portfolio investments and the volatility of the … volatility in the after-crisis period, the fall in bilateral equity investment in the Euro area disappears …

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross …-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out …-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself …

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that this may …

increases the conditional volatility of the Filipino stock market significantly over the next two weeks of trading. Our second … conditional volatility of returns and exchange rates …

In this paper we propose a framework for predicting market returns and volatility using changes in the country … and volatility equations. The appropriate level of aggregation for the political risk variable is also examined. We … analyse 47 emerging and 21 developed markets. We find political risk predictive power primarily for volatility, when looking …

hypothesis using a global bond market dataset. Exchange rate volatility and financial account openness are thus able to explain …

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries … find that MENA stock market volatility can be characterized by three regimes: tranquil period with low volatility of … volatility, turmoil regime with high volatility of volatility and crisis regime with extremely high volatility of volatility …