between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

underestimating risk exposure. We propose an alternative estimation procedure incorporating readily available primary market data from … stock return volatility. Moreover, we find that our measure captures the influence of increased ETF activeness while … partially capturing the effect of institutional investors’ demand on price return volatility. Additionally, our analysis reveals …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …