average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability …We construct a global implied volatility surface by combining information from the index options of twenty countries … and regions. The convexity of the global surface positively predicts equity premia around the world, in- and out …

massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

Index) and individual stock price crash risk. We examine the stock price behavior of 35 countries' listed firms from 2004 to …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …