The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of …

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the … volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and … scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally …

of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the … exchange rates variation on the returns and volatility of the stock prices depended on the factors such as the foreign capitals …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the … money markets from Euro zone, Bulgaria, Czech Republic, Hungary, Poland and Romania and propose some volatility transmission …

value and volatility of bank’s assets for a random sample of 13 Public and 8 Private sector banks in India over the period … value considers the riskiness of the equity and assets both. It is found that the volatility of banks assets is …