volatility in nominal interest and exchange rates raised risk and amplified exogenous shocks. The second factor raising …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

oil price changes and (iii) an increase in EPU has a delayed positive effect on volatility. …

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy … futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models … performance. Using the crude oil, heating oil, gaso- line and propane volatility futures energy time series with one month and …

volatility of the underlying ISE-30 index. This study examines the effect of index warrant trading on the volatility of the index … from August 13, 2010, to August 2, 2011. In order to capture the ex-ante and ex-post varying volatility of the underlying … a decline in the volatility of the underlying ISE-30 index during the research period. …

results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes …

asset to the riskless rate of interest. Finally, our Binomial Leverage-Volatility theorem provides a precise link between … leverage and volatility. …

, and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices … cycle in which asset prices display clustered volatility and fat tails even though all the shocks are essentially Gaussian. …

volatility for a given distribution of the payoff states. We show that the maximal aggregate volatility is attained in a noise …