. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty … examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy … uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of … market, US bond and gold market data shows that the FTS measure is a statistically significant predictor of future equity …

This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major … volatility spillover analysis proves a contagion effect occurred between different geographic markets, and even between markets …

This paper studies the dynamic change of volatility spillovers between several major international financial markets … during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …

The price of equity equals the risk-adjusted present discounted value of cash-flows. Discount factors depend upon the … short rate process. As such, a link exists between bond and equity returns. This link implies a relationship between … volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and …

returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG …