connections through the analysis of Volatility Impulse Response Functions (VIRF) for two historical shocks, namely the 2008 … conditional volatilities. These results provide useful insights into the volatility transmission mechanism in crude oil markets …

restricted REITs and a sample of fifty REITs not on the list. Rather than mitigate volatility it was determined that fifty of the …

, it is processed rapidly. Volatility is found to be significantly higher on news days. …

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy …. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and …

volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan … capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in … the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US … following two issues: Firstly, to measure the extent of volatility of the stock indices under study and also the correlation of …

This paper investigates maize price volatility in Swaziland as offered by NMC, an organization with a mandate of … stabilizing prices in the country. Price volatility is analyzed using ARCH/GARCH modeling techniques. Results show that the … control persistence in volatility. Asymmetric analysis of the prices shows that prices have not reacted unequally to shock …