have helped to mitigate the spillover effects of such increased volatility into the real economy. The track record of …

volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and … the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the … returns and the volatility can be accurately described by the exponential distributions [11]. We then propose a stochastic …

Purpose – The purpose of this paper is to investigate the short-run return and volatility spill-overs across three … explore the return and volatility relationships. Findings – The return and volatility spill-overs between the two developed … significant uni-directional volatility spill-over from the LME to the SHFE are documented. Research limitations/implications – The …

Purpose – The paper seeks to examine changes in daily return volatility associated with open market share repurchases … explore relations between daily return volatility and a number of variables. Findings – This study finds evidence that an open … market share repurchase firm, by actively buying back its shares when the share price falls, reduces daily return volatility …

shift in one of the most important areas in econometrics: volatility measurement, modelling and forecasting. We will …

. Specifically, having modelled the market volatility return like a GARCH (1,1) process and having defined three regimes of … volatility (low, neutral and high), we find that most of the betas in volatility classes are meaningful and positive. We also …

production and relative price volatilities cause more fluctuations in the agents' portfolio decisions than the volatility of …

effect on the market return volatility for the period 1999-2005. GARCH and EGARCH models are used to generate variance series … hits and bank returns volatility when it is generated from GARCH model. The price limits policy in ASE does not have their … positive effect in reducing bank return volatility, a result consistent with Chen (1993) and Phylaktis et al. (1999). …