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 …

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 …

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and … reliable results, but remains difficult to interpret in the real world. This paper proposes a quantile regression to transform …

, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some …