relevance of the stock return volatility to the company's fundamental variables, with a sample of the stocks listed in the … volatility of the return-on-equity. We guess that cash dividends may be an important link between the real economy and the …

preferences affect future spot price volatility. Consistent with our expectation, we find that preferences for lotteries by call … option traders directly affect future volatility in the underlying asset …

being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this … yield curve. More specifically, we evaluate the implications from the low-volatility screening on the portfolio's industrial …, we propose a method to control the low-volatility exposure to changes in interest rates, which should be of interest to …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …