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Measuring the relationship between intraday returns, volatility spill–overs and market beta during financial distress
The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, ...
The price and volatility transmission of international financial crises to the South African equity market
(North-West University, 2011)
There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this ...