Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of … periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design …/methodology/approach – Volatility estimates are incorporated into standard volatility models to assess the impact of structural breaks on volatility …

Purpose – The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging …, satisfying a pure power law process, and the variability in returns is more likely to be due to the dynamics at the lower time … scales. While emerging markets generally exhibit a higher level of volatility, the relative contribution from each time scale …

Purpose – The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV … Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach – A primary …

first investigations that focus on the comovement and volatility of hedge fund index returns during the US financial crisis … to investigate the comovement of hedge fund index returns. Design/methodology/approach – The paper identifies broad hedge … comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the …

this topic by studying this merger and its effect on Euronext's market risk (measured by volatility). Design … volatility of the underlying markets and use break methodology to highlight the merger effects. It also adds control samples to … account for any change in volatility that could be caused by factors other than the merger event. Findings – The results …

Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects …

simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to … investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE …) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH …

volatility and business group affiliation are statistically significant determinants of the firm's acquisition decision. Earnings … volatility follows inverted “U” curvilinear relationship with a firm's propensity to bid for acquisition and business group … affiliation is a quasi moderator, i.e. has both direct and moderating impact on earnings volatility and acquisition likelihood …