to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non …, illiquidity, and idiosyncratic volatility. Abnormal returns are asymmetric; they are primarily driven by firms whose returns …

allocate resources. However, when trust is eroded with high volatility and unpredictable events, financial crises are amplified … economic recovery. Using a multi-factor model, I find that intermediary leverage, volatility, and more importantly their … between intermediary leverage and volatility to enable financial intermediaries to better manage their leverage in a rapidly …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect …

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors … underlying factors affect changes in equity volatility as well as giving an indication of how the financial markets view the …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …