in future investment decisions. The aim of our study was to examine the volatility properties of green sovereign bonds of … conditional volatility premium for green government bonds. To answer our research questions, we calculated conditional … Hungarian green sovereign bonds have higher volatility than the traditional ones, which is the opposite of the German experience. …

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

-Indonesia, Brazil, India, South Africa, Mexico, and Turkey-are elaborated in terms of return, volatility, and cross-correlation features …

-sectional idiosyncratic volatility. Housing data are infrequent and usually made available every month. The monthly-quarterly volatility …

monthly volatility variables, the corresponding volatility factors, and a speculation variable. In addition, the time …-of-sample forecasts. Furthermore, the speculation variable displays strong predictability for forecasting the realized volatility of …

forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk … group. The object of the study includes quantitative analysis, estimation and forecasting of daily volatility through the …