In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal … different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze … and evaluate the spillover effects. Special attention is paid to selecting an appropriate econometric volatility model …

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric … evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News … impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock …

allows for asymmetric responses of volatility to stock and currency news, including leverage effects. Our results suggest … that the currency risk is priced in international stock markets, once asymmetries in volatility are taken into account. The …

The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

In this paper we employ the news aggregator GoogleTM News to demonstrate a strong link between the volatility in the …