- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the … stock volume is only associated with the implied volatility of at-the-money options, which can be traded quickly. In … contrast, the implied volatility of out-of-the-money options, which are highly speculative, is strongly related to the futures …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

impact of macroeconomic uncertainty on stock market volatility in Sri Lankan stock market. Interest rate, inflation, money … the stock market, returns and volatility. The sample includes monthly stock market index and macroeconomics data from 1998 …), Sri Lanka. Further, the results of the EGARCH model evidence the presence of asymmetric volatility in the monthly stock …