This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility process is … possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local power …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The … well as several subsystems and the results discussed in detail. -- Multivariate GARCH ; Constant conditional correlation …

The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …

, disappointment may result not only from a fall in the market index, but also from a rise in a volatility index. Theoretically, we … show that besides the market return and changes in market volatility, three two-asset option-like payoffs, contingent to … and a long call on the volatility index. Implied measures of market and volatility downside risks similar to those …

Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean …-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain … unexplored. This study therefore attempts to investigate the behavior of ZSE stock price and return volatility using the class of …

uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a … downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset …