document that oil price changes have asymmetric effects on stock returns in some GCC countries, but not for others. More … stock returns to oil price changes, especially with regard to the existence of asymmetric behavior …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and …

This review paper articulates the relationship between prediction market data and event studies, with a special focus … prediction markets can mitigate these biases …

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … independent of other demographics. A theory of economic incentives to minimize the dispersion of sleep predicts that higher …