shows how the speed of mean reversion of market liquidity, by affecting the level and the volatility of the overnight market …

shows how the speed of mean reversion of market liquidity, by affecting the level and the volatility of the overnight market …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. …

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …