Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market … construct the volatility targeting strategy. Among considered assets, only long-term Treasury bonds act as a safe haven and … downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance …

Despite the crucial role of thermal coal in generating the electricity used for cryptocurrency mining, the volatility … linkage between the cryptocurrency and thermal coal markets is yet to be studied. We investigate the time-varying volatility … Autoregressive model, which accounts for both long memory and structural breaks in realized volatility time series, we find that …

from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers …

Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and … a bivariate DCC-GARCH model, we show significant volatility spillover effects. Moreover, we use the definition of …

regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have …

bivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for …

COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 … Expected Shortfall calculated using Extreme Value Theory are also presented.All the sectoral indices exhibited asymmetric …

of portfolio and risk management decisions. …