This study examines the long run impacts of equity market volatility on index returns of nine major international stock … exchanges in the Western and Asian regions. This study employs the text-based Economic Market Volatility (EMV) index to measure … the degree of uncertainty in the U.S. stock market. Using monthly data from December 2001 to August 2018, the estimation …

likelihood estimation makes it more attractive in the applications of risk management of portfolio and VaR calculation …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …