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 …

measure of realized exchange rate volatility, we endogenously identify two volatility regimes: low and high. Simulating an … performance varies across different regimes. This suggests that UIP deviations are more pronounced in the low volatility state and …

(USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with … associated with higher volatility than Wednesdays …

evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …