In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …

estimation of the cost of capital. …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the …-M models are used to test the return, volatility and volume relationship. The results indicate that there is evidence of first … is significant interaction between trading volume and return volatility when volume is entered into variance equation of …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …