autoregressive conditional heteroscedasticity (GARCH) model were employed to evaluate event-induced abnormal returns and volatility … REITs produced positive impacts. In most cases, these events also increased asset volatility. These findings help us … understand the adjustment of stock returns and volatility due to past ownership changes, and may shed light on similar changes by …

. However, our analysis also shows that the volatility of capital inflows such as remittances and FDI is harmful to economic …

several specifications approach the empirically observed volatility, although none of the models generates enough persistence … its volatility. …

This study examines the volatility of daily stock returns and the volatility of returns during trading and non … examine the reasons for the high volatility during trading hours. First, the price-determination procedure at the opening is … prices. Third, there is a two-hour day break in trading during a business day. The volatility of daily return calculated from …

) real wage volatility (relative to output volatility) is about twice as high in emerging markets compared with developed … economies, and (iii) real wage volatility, as a ratio of output volatility, decreases with the level of financial development …

volatility and a drift in asset return. Volatility-based proxies for information flows are proposed to examine empirically the … futures, information diffusion and volatility components. An important implication of our study is that the slow diffusion of …

the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …

volatility raises inflation; (2) the Friedman hypothesis that inflation raises inflation volatility; and (3) the Black hypothesis … that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any …