We show that there is strong commonality in the volatility of a wide range of diversified equity portfolios. Common … factor volatility (CFV) exists even when factor or anomaly returns are market-adjusted and does not appear to be attributable … idiosyncratic volatility, implying that a common volatility feature pervades the entire spectrum of equity return variation. Models …

symmetric models) as asymmetric models to determine the most suitable model for volatility of Istanbul Stock Exchange Food And … between the date 04.01.2001 10.01.2018 period. We find that the most suitable model for volatility of Istanbul Stock Exchange …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

In this paper, we review econometric methodology that is used to test for jumps and to decompose realized volatility …

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a … novel framework for quantifying price impact. We show that at times of relatively low volatility, marginal trades that go … difference tends to diminish at times of high volatility, indicating that the perceived information content of going against the …