This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …

aggressiveness within the first 10 tiers, but that this pattern reverses in the outer layers of the book. In a high volatility …

There have been increasingly frequent claims that risk parity strategies are hiding an implicit short volatility … exposure or behave as though they are short volatility. In order to test the veracity of these claims, we simulate stylized … versions of three-asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we …

the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and …. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return … is low) and lower in the high regime (i.e., volatility of world market excess return is high). For the net oil export …