liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … 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 …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an …

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 …

volatility shocks. The metric for the connections of the nodes is the correlation between these shocks. Daily dynamic centrality …

been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period …). 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 …