: 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 …

purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical … results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

framework, by taking into account capital market and foreign exchange market volatility. We use eight currencies, of which five … use OLS regressions to capture the influence of volatility on UIP testing. We find that UIP is not validated, overall and … in times of high volatility, but the direction in the exchange rate change indicated by the interest rate differential …

In the aftermath of the financial crisis, market efficiency is being heavily criticized. However, the volatility …

authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock …