This article seeks to examine the forecasting performance of nine competing models for daily volatility for stock market returns of 33 economies. Whilst volatility is an important variable in many financial applications including those relating to areas of risk management there exits little...

Recent evidence has suggested an asymmetric effect in the return dynamics of the US on the basis of the number of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding...

This paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing...