Empirical Studies on Volatility in International Stock Markets

Abstract

Aims and ScopeThe series will place particular focus on monographs, surveys, edited volumes, conference proceedings and handbooks on:• Nonlinear dynamic phenomena in economics and finance, including equilibrium, disequilibrium, optimizing and adaptive evolutionary points of view; nonlinear and complex dynamics in microeconomics, finance, macroeconomics and applied fields of economics.• Econometric and statistical methods for analysis of nonlinear processes in economics and finance, including computational methods, numerical tools and software to study nonlinear dependence, asymmetries, persistence of fluctuations, multiple equilibria, chaotic and bifurcation phenomena.• Applications linking theory and empirical analysis in areas such as macrodynarnics, microdynamics, asset pricing, financial analysis and portfolio analysis, international economics, resource dynamics and environment, industrial organization and dynamics of technical change, labor economics, demographics, population dynamics, and game theory.The target audience of this series includes researchers at universities and research and policy institutions, students at graduate institutions, and practitioners in economics, finance and international economics in private or government institutions.

Asymptotic Properties of GARCH-X Processes

“…Moreover, it is well known that the time series of realized measures are also persistent. For example, Andersen et al (2003), Andersen et al (2009) and Hol (2003) emphasized the evidence of long memory in the time series of realized measures.…”

Investigating Abnormal Volatility Transmission Patterns Between Emerging and Developed Stock Markets: A Case Study

“…Rejeb and Boughrara (2015) have investigated financial integration in emerging market economies and its impact on volatility transmission and contagion and have concluded that financial liberalization contributes significantly in amplifying the international transmission of volatility and the risk of contagion. Hol (2003) has provided Stochastic Volatility (SV) models as an applied alternative to the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models. Dutta et al (2017) have investigated the effect of oil volatility shocks on global emerging market stock returns and have concluded that the OVX index shocks generate a high impact on emerging market equity returns.…”

Where Should I Submit My Work for Publication? An Asymmetrical Classification Model to Optimize Choice

“…Therefore, the mathematics presented here are more related to some financial tools than to classical bibliometric studies, and this is the main novelty of our work. Although we have not followed any special financial model, our arguments can be understood in economic terms: the interested reader can find more information about such models for example in Hol (2013) and the references therein.…”