frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock's upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

:01-2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the …

based on the investor's risk tolerance. The study measures the risk-reward relationship when the number of stocks in the …'s (1952) diversification formula has been used to measure the risk level of the individual portfolios. The results of the … study show that the diversification risk constantly decreases when we move from the portfolios with 47 stocks to the …

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

financial crises. Furthermore, investment managers can manage portfolio risk and forecast patterns in stock market volatility …This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …

In this article, the market risk associated with the financial markets of New York and Colombia is evaluated in three … war between Saudi Arabia and Russia and the global pandemic by COVID-19. Risk measurement is carried out using the value … at risk (VaR) and Median Shortfall (MS), applying a statistical methodology that considers the use of parametric and non …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns' quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …