volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …

of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i …

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …

management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … estimates of the volatility matrix: sample covariance, approximate factor model with known factors, and unknown factors (POET …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …

, Japan, China, and Malaysia. The paper analyzes the cross volatility, comovement, and estimates the Granger causality between …. The volatility and comovements between stock indices are higher and unstable during the financial crises. Furthermore, the …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …