In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently … affects returns and return volatility of firms. The effects are, however, different for different firms and are dependent on … returns and firm return volatility. …

This study investigates the effects of aid inflows and the volatility of public investment on economic growth in 26 Sub …-Saharan African countries over the period from 1992 to 2011. Three volatility variables comprising aid, government revenue, and public … impact on growth once potential endogeneity has been accounted for, aid effectiveness may have been eroded by volatility in …

unemployment rate, (ii) increases the volatility of sectoral sales and (iii) increases welfare proportionately less than in the …

generalized inverse gamma distribution best fits VIX and VXO volatility data. We further prove that stock returns are best fit by …

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great … countries. This Great Recession period was characterized by a sharp apparent increase in output volatility. In this paper we … evaluate whether this sudden event is likely to be temporary. Whether or not this new volatility regime is likely to persist …

The short term and long term stock price volatility changes around bonus and rights issue announcements have been … examined using historical volatility estimation and time varying volatility approach. The results show that the historical … volatility has increased after bonus and rights issue announcements. Volatility persistence and unconditional volatility have …

Recent developments in multivariate volatility modeling suggest that the conditional correlation matrix can be … financial returns. The power of two computational requirement makes high-dimensional multivariate volatility modeling very time …