the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks …. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation … than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in …

inopportune time. We examine the linkages between global stock markets using measures of market uncertainty (implied volatility …). Using daily changes in G7 and BRIC implied volatility measures, over a 17-year sample period, we demonstrate that …