Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN …

Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have … memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we … show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology …

We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of …

build a hybrid model that most notably describes the price change and associated volatility probability density …

This paper examines the impact of the introduction of stock index futures on the volatility of the Istanbul Stock … that the introduction of futures trading reduced the conditional volatility of ISE-30 index. Results further indicate that …

increase stock market returns. Moreover, the volatility of oil prices has a negative impact on international stock market … oil price variations. In addition, the asymmetry of oil price changes impacts oil volatility; i.e., when oil prices soar …, oil volatility also increases, while negative oil price changes dampen volatility. Finally, oil price fluctuations are a …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …