examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order …

represents an important innovation, the fundamental purpose of which is to reduce the volatility of stocks and thus improve their … volatility of the stocks involved is examined, using parametric and nonparametric tests and employing a methodology based on the …, on the other hand, no apparent decrease is observed in volatility. Durante 1998 se implantó en el mercado español el …

realized volatility as proposed in Andersen et al. (2003, Econometrica 71, 529-626). Our findings reveal not only a significant … increase in spot trading activity, but also the existence of a significant jump in spot volatility at index futures expiration …. Moreover, we analyze the importance of the data frequency considered, revealing that the use of GARCH methodology from daily …

This paper analyzes the effects caused by outliers on the identification and estimation of GARCH models. We show that …(p) and GARCH(1,1) models. …

volatility in the Spanish Wholesale Electricity Market. The article describes themain characteristics of the sector after the … 2000. We have obtained evidence of asymmetric conditional volatility aswell as a weekly seasonal non-stationary stochastic …

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to … is also found that the daily volatility risk premium presents a quite volatile behavior over time; however, our evidence … suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston´s model. …