This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous autoregressive model for volatility...

The numerous literatures have recorded the closely connection across commodity and stock markets. This study empirically examines the role of 7 metal commodities (gold, silver, aluminum, plumbum, copper, zinc and nickel) in predicting G7 stock volatility. The results of individual factor...

Using Thailand stock market data, we find that prospect theory has strong predictive power for returns in the Thailand stock market. This predictive power is strengthened during crises and bear and bull markets. The loss aversion component is the main contributor to the increased predictive...