The idiosyncratic volatility effect of Ang et al. (2006) is robust to restricting the sample to NYSE firms (once proper … volatility effect is also unlikely to stem from the short-run reversal of Jegadeesh (1990), as the idiosyncratic volatility … effect stays significant for about six months. The idiosyncratic volatility effect also does not seem to weaken post-publication …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …

Investors pay a substantial premium to hedge against fluctuations in volatility—the variance risk premium (VRP). The … inaccurate measure of conditional volatility. Solved accurately, conditional volatility exhibits—counterfactually—a strong …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …