This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by … relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN …) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead …

The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to … Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also … asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases …

findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …

also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. In doing so, we use … significant effect on stock returns, and that the relationship between oil prices and stock returns is symmetric. Our results are …

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia … and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a … not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the … Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … equivalence. The question arises is of the glaring surfeit in the immersion of the price of risk within the invariant state market … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

"expected precision'' (EP). The EP measures the level of consensus of expectations in the market about future returns … precisions, we define the "precision risk premium" (PRP) that informs about the premium the investors are willing to pay to avoid … Gaussian and relates to the VRP and market returns dynamics. Our result suggests that not only the accuracy but the precision …

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE … bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot … market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by …