endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies …

volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …

volatility from 2005 to 2014. Using a sample of (294) Lebanese political news, the results from GARCH, EGARCH and ARCH models … unfavorable political news announcements increase BSE volatility. Additional analysis shows that unfavorable political news has … greater impacts on BSE volatility and returns than favorable political news. It seems that BSE investors are more sensitive to …

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …

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 …