Many empirical studies have found a positive relationship between return volatility and trade volume. A number of theoretical papers predict this volume/volatility relationship. In contrast, Jones, Kaul and Lipson (1989) find that return volatility is best explained by transaction counts, rather than volume or average trade size. Our paper tests the robustness of this trade count/volatility res...

Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used implied to evaluate long-term relationship these two metal markets. Our paper aims fill this gap in existing literature. This investigates transmission silver; by using GARCH VAR modelling, it finds that from is unidirectional. Volatility strategies options can be designed take advan...

In this paper, we investigate the “static and dynamic” return volatility spillovers’ transmission across developed developing countries. Quoted against US dollar, study twenty-three global currencies over time period 2005–2016. Focusing on spillover index methodology, generalised VAR framework is employed. Our findings indicate no evidence of bi-directional spillovers between However, unidirect...

This paper considers horizon effects on portfolio weights under time varying and forecastable return volatility. The return volatility is modelled as a GARCH-M, which is general enough to encompass both constant and time varying mean. The analysis confirms earlier results, namely that there are no horizon effects when the stochastic process, that governs asset returns, has constant mean. Howeve...

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...