We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

We study the microstructure of the MTS Global Market bond trading system, which is the largest interdealer trading …

06] by (i) incorporating the microstructure of the EONIA market including the ECB fine-tuning operation on the last day …

Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation of a … Gaussian process. We find that jumps are prevalent in most countries. This has been little investigation of whether the jumps … diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …

provides extensive evidence supporting the rejection of the martingale hypothesis both between days and within days, primarily … for interest rates and volatility. We extend this analysis and investigate the seasonality of market activity and …