This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows … that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both …

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals … hits lead changes in market volatility. I show that a regressor based on search engine data can provide a meaningful …

Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the … indicate that the volatility of stock market returns is increased in all cases examined. …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … the dynamics of headline and core CPI volatilities in Nigeria, while the symmetric GARCH (1,1) was found to be adequate …

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish … collapse of Irish equity markets and subsequent troika intervention in Ireland spilled over upon European equity markets during … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector …

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …