illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

). Volume 29(C), pages 381-401.<P> This paper investigates the stock returns and volatility size effects for firm performance in … tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes … been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period …

Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory … liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

dealers require compensation for inventory risk and this compensation needs to be higher when market uncertainty is larger. We … explanation of yield movements based on the behaviour of primary dealers with limited risk-bearing capacity. …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

See the publication in the <I>Journal of Risk and Financial Management</I> (2012). Volume 5(1), pages 78-114.<P> The … volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …

market development through the resolution of political risk. We argue that a sustained privatization program represents a … major political test that gradually resolves uncertainty over political commitment to a market-oriented policy as well as to … improvements in perceived political risk. Our analysis further shows that changes in political risk in general tend to have a …