In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR … the recently published VKOSPI (in Korea) - and their stock market indices, the authors find an asymmetric volatility …

This note considers the treatment of risk and uncertainty in the recently established social cost of carbon (SCC) for … discounting, it mis-estimated climate risk, possibly hugely. Given the uncertainty about estimating the SCC, the note concludes by …

volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …