We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index …

volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …

substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should …

. According to the results, bear periods have higher volatility persistency than bull periods. …

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the … volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level …