This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at … examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order … process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing …

2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the … rate risk, is more closely associated with comprehensive income volatility than either net income volatility or fair value … negatively associated with bank share prices, suggesting that comprehensive income volatility captures incremental risk factors …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the … capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of …

scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations … between financial institutions to market participants that bear new liquidity risk on the market associated with collateral …

the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk …This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically … the assumptions investors used when determining their strategic allocation, in terms of balance between risk contributions …

We consider the channel consisting in transferring the credit risk associated with refinancing operations between … financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth … on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX … 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 …