volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …

empirical findings and interpretations since. Volatility appears to be the main driver of the anomaly, which is highly …

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility …

The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha … spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January … 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value …