COVID-19 pandemic on the dates of study, as the main result it is obtained that in general there is a very high volatility …

Purpose This paper aims to investigate the concept of VUCA (volatility, uncertainty, complexity and ambiguity) in the …

multivariate factor stochastic volatility (mvFSV) framework to extract the volatility of the different sectoral indices. Based on …

volatility of an emerging market. The paper also determines the moderating role of firm size, crisis and turnover on such … over the association between institutional investors and firms’ stock return volatility. Findings The study provides …-insensitive institutional investors have a significant positive relation with stock return volatility, while pressure-sensitive institutional …

This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock … release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General …

Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility …, in the context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters …