long for the volatility forecasting studies. It is one of the earliest attempts to examine the impact of market conditions …

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine … whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series … excess volatility, time series analysis identifies a long‐run relationship between share market value and dividends …

linkage among major bond markets at the volatility level. Evidence that globalization has seriously affected the behavior of … makes them efficient in their assessment of assets. Therefore, their concerted actions generate more volatility as they …

explain future volatility more accurately than historical volatility by use of regression analysis.  …

tracked as well as evaluated the effects of the program on the volatility of the Malaysian bank stock returns. It was found …

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 … 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 …

comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the … paper examines whether correlations and covariance are important determinants of future volatility via traditional time … average correlations, stemming from an increase in hedge fund volatility, is documented. The time‐series regressions are …