Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper … econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated … the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any …