Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts … observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a …

Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984 … understand its root cause. We find that the interest rate sensitive sectors generally experience a much earlier volatility …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has … results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In … was concluded that there has been volatility in gold prices …

model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed …

-)efficiency, volatility clustering and predictive regressions in economic and financial markets using traditional approaches that appeal to …-)efficiency, volatility clustering and nonlinear dependence based on (small) powers of absolute returns and their signed versions. The paper …-)efficiency, volatility clustering, nonlinear dependence, and other areas …