This paper examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid-ask spread of two equity ETFs, the Samp;P 500 SPY fund and the Samp;P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and...

Using high frequency returns, we examine realized volatility and correlation on the NYMEX light, sweet crude oil and Henry-Hub natural gas futures contracts. The unconditional distributions of daily returns and daily realized variances are non-Gaussian while the distributions of the standardized...

This article examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid–ask spread of two equity ETFs, the S&P 500 SPY fund and the S&P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and surprises...

Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the...