Volatility indices have been designed for many markets as gauges to measure investors' fear of market crash. The recent market turmoil has produced historically high volatility levels, in some cases around four times higher than their previous average levels. We take a look at the behavior of...

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of...

The financial crisis, after pushing governments to adopt exceptional measures to bail out banks and launch challenging plans to revive the economy, has come to expose the sovereign debt of many countries at risk of ”default”. For this reason, the European institutions and national...

This study uses data on 27 European stock indices over the period from January 2007 to December 2012 to investigate the relationship between innovations and the market reaction to negative news during the financial crisis. We use the bivariate BEKK-GARCH approach to estimate time-varying betas...

We present a tractable framework which links realized covariances to liquidation flows and asset liquidities via a feeback loop. We show the identifiability of model parameters which enables to build a dynamic indicator for fund liquidations. At every date t, this indicator that we call the...