The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the … volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the … spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003 … based on the volatility estimators put forward by Garman and Klass (1980), Parkinson (1980) and the univariate GARCH …

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …