management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … estimates of the volatility matrix: sample covariance, approximate factor model with known factors, and unknown factors (POET …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …

, Japan, China, and Malaysia. The paper analyzes the cross volatility, comovement, and estimates the Granger causality between …. The volatility and comovements between stock indices are higher and unstable during the financial crises. Furthermore, the …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …

Malaysian IFSIs are investigated to gain insights into their performance in terms of volatility and correlations with the market … this volatility into their contributions from the point of view of different time scales. The findings are that IFSIs are … much more volatile than their competitors with seemingly independent spikes in volatility unique to themselves but are low …