naked short selling raises both volatility and bid-ask spread, 3) Disclosure requirements raise volatility and reduce …

autoregressive conditional heteroscedasticity (GARCH) model were employed to evaluate event-induced abnormal returns and volatility … REITs produced positive impacts. In most cases, these events also increased asset volatility. These findings help us … understand the adjustment of stock returns and volatility due to past ownership changes, and may shed light on similar changes by …

conventional funds with similar characteristics. According to this literature, we use a traditional CAPM model that allows for … timevarying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with di¤erences in the intensity of … extra-.nancial negative screening. Our key result shows that both alpha and beta are negatively correlated to the intensity …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

volatility functions, although we have to impose some weak regulatrity assumptions. We illustrate the use of the limit theory on …

This paper examines the structural determinants of output volatility in developing countries, and especially the roles … of geography and institutions. We investigate the volatility effects of market access, climate variability, the … market access: remote countries are more likely to have undiversified exports and to experience greater volatility in output …

stochastic volatility model. Specifically, a set of unobserved time-dependent factors, along with an associated loading matrix … series is assumed to follow independent three-parameter univariate stochastic volatility processes. A complete analysis of … truly high dimensional models of stochastic volatility. We apply our methods in detail to two datasets. The first is the …

Recent decades have seen a considerable expansion of global trade and a simultaneous decline in inflation volatility … effect of openness on inflation volatility. This relationship is estimated after controlling for the potential endogeneity of … relationship between openness and inflation volatility is more pronounced in developing and emerging market economies than in OECD …