growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

, effectively lowering its volatility. We also show that relatively small increases in the average holdings of reserves by Latin … substantially REER volatility. …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …