We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

We compare the predictive ability and economic value of implied, realized and GARCH volatility models for 13 equity indices from 10 countries. Model ranking is similar across countries, but varies with the forecast horizon. At the daily horizon, the Heterogeneous Autoregressive model offers the...

This paper attempts to reveal the impact of the right jump tail on the dynamics and term structures of volatility-of-volatility (VVIX) and variance-of-variance risk premium (VVRP) based on the VIX index while examining the return predictability implicit in the VIX market. In a simulation study...

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been extensively studied worldwide, this is the first study in reference to Bangladesh to the best of our knowledge. The broad objective of this paper is to investigate whether...

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

This paper aims to investigate the extent of hedging and diversification opportunities available for an Australian investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the Australia-US exchange rate of daily data from 2011 to...

This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis...

The impact of indexing is exceptionally well documented in the equity markets. The same has not yet been the case for the commodity markets. Our empirical results suggest that one should see increased price-pressure effects in the commodity markets with any increase in the popularity of...

Volatility is widely considered to be a category of technical indicators with a simple interpretation - no matter how it is measured volatility is widely believed to rise in a market downturn. This approach is applied to indicators such as the Average True Range (ATR), Bollinger Bands®...