The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

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 volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …