market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … horizons. These models are based on different and sometimes competing theoretical concepts. They belong either to GARCH or …

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …

. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes … to world energy and oil industries. As a result oil markets are naturally vulnerable to significant negative volatility …. These models are compared to the performances of other well-known modelling techniques, such as GARCH, historical simulation …

volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … modified ICSS test developed by Sansó et al. (2004) and then incorporate this information into the volatility modeling. Our … results indicated that the degree of persistence of volatility is reduced by incorporating the variance changes into the …