Rahman, Md. Arifur; Daly, Kevin James; Valentine, T. J.; … - University of Western Sydney; University of Western Sydney; … - 2005
This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January 1992 to 31 May 2004. Using a conditional volatility...