levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small; self-exciting but short-lived volatility spikes capture intradaily and daily returns better. Multifactor models …

Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS … suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk …

the transmission of volatility, particularly in the tails of the distribution, and highlights the necessity for efficient …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

Predicting the one-step-ahead volatility is of great importance in measuring and managing investment risk more … accurately. Taking into consideration the main characteristics of the conditional volatility of asset returns, I estimate an … leptokurtic conditional distribution of innovations, produces the most accurate one-day-ahead volatility forecasts. The study …