from downtrending, uptrending and no-trend periods. This research is also among the first to introduce volatility into the …

2014, with particular focus on 2007-2008 when the market experienced record-high price volatility. Design …

This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock … release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General …

Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility …, in the context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters …

Purpose The purpose of this paper is to empirically examine return and volatility spillovers between oil and the stock … spillovers and volatility spillovers of Diebold and Yilmaz (2009, 2012), referred to as spillover indexes. The spillover index … markets returns and oil market returns. The results for volatility spillovers show independence of volatilities between …

Since January 2020, we have been experiencing times of uncertainty and volatility. This study aims to analyze the … behavior of cryptocurrencies during periods of volatility and whether they can be considered safe-haven assets. To measure … volatility, we utilize the VIX and estimate linear regression models between both variables. The results obtained, using the five …

Purpose – The purpose of this paper is to present a behavioral explanation of excess stock price volatility relative to … volatility can be expected to be greater than a simple present value model would imply. Originality/value – This paper is unique … volatility.  …

specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to …

Purpose – This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in … constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options … Exchange, termed FVIX, as well as focuses on volatility risk in crisis versus non-crisis time periods. Design …

is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design …