. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the … gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other … two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

This study examines the role of daily volatility persistence in transmitting information from macro-economy in the … volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread … and the Baltic exchange dirty index, impact volatility, and this impact is channeled via the volatility persistence …

exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a … daily volatility of three exchange rates series with respect to American dollar. These results are useful for anyone needing … forecasts of exchange rate futures volatility …