Volatility spillover among sector equity returns under structural breaks

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Volatility Spillover among Industries in the Capital Market in Iran

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...

Dematerialisation of Equity Shares in India: Liquidity, Returns and Volatility

Dematerialisation of shares is an important milestone in the annals of Indian Capital Markets. Understanding and measuring the impact of it on various segments is necessary since it stirred the microstructure of Indian capital markets in general and stock exchanges in particular. Demand and Supply forces determine prices of a product. Liquidity plays an important role in the interplay of demand...

Estimating Stochastic Volatility: The Rough Side to Equity Returns

This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with high efficiency and precision. These simulations are useful to price derivatives, accounting for rough volatility. Then we calibrate the BSS parameters for the realised kernel of...

Sector Fund Performance: Analysis of Cash Flow Volatility and Returns

Sector funds are an important and growing segment of the mutual fund industry. This paper analyzes the performance of 609 actively managed stock sector funds listed on the CRSP Survivor-Bias Free US Mutual Fund Database during 1972-1999. We use a five-factor model to document the following results. First, sector funds as a group neither outperform nor underperform their benchmarks. Second, sect...