: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead … mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility … funds exhibit lower volatility and liquidity timing skills than live funds. …

We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We … volatility, utilising different sampling frequencies and evaluating different financial markets. Because it is well known that … and measurements of volatility, different financial markets, and distinct sampling periods, such as the pre-crisis and …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

This study highlights the link between stock return volatility, operating performance, and stock returns. Prior studies … suggest that there is a ‘low volatility’ anomaly, where firms with a low stock return volatility out-perform firms with a high … stock return volatility. This paper confirms that low volatility stocks earn higher returns than high volatility stocks in …

volatility in ASE during global, regional and local events. For this purpose the GARCH-M model is used to capture changes in … volatilities. The paper provides an evidence of high persistence in volatility and strong reverse relationship between stock return … and its volatility before and after the crises. Research limitations/implications – The paper does not include rest …

positively correlated with the daily volatility of the ETF, while trading volume has a limited effect on reducing tracking errors … paper uses the co-integration tests and the error correction model (ECM) to test the long-run relationship between returns …

factors that drive inflation volatility. Among the significant determinants of volatility are average inflation rates …

asymmetric effects of oil prices on stock returns, but also exploring the importance of structure changes in this dependency … into the model of stock returns; we also focus on the ways in which oil price volatility, as opposed to general …) model with structure changes, from which we conclude that high fluctuations in oil prices have asymmetric unexpected impacts …

We investigate if and how gas price volatility can be explained on the basis of market fundamentals. We depart from the … Kanamura (2009) supply and demand based volatility model. We generalize this model to account for a variety of demand and … demand based volatility models relying on different supply assumptions provide a sound theoretical and economic foundation …