This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically … the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk …

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 …

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 …

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. …

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 … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …