Financial market volatility is an important element when setting up port- folio management strategies, option pricing … and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

that many of the global predictors have a weak explanatory power when they are individually regressed against the world …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

rates, money supply, inflation rates, movements in world crude oil prices, volatility of the US and UK stock markets and …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …