least as important as options for forecasting future stock market volatility. Conversely, if volume was high during period … $t – 1$ relative to the recent past, then option-implied volatility is much more important than ARCH for forecasting …Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the …

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

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility … models. A MCS is analogous to confidence interval of a parameter in the sense that the former contains the best forecasting …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …

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 …

-term volatility of the cash price of crude oil. We show that the variability of prices increased using both published posted prices … and transaction prices for producers. This increased volatility in the price of crude oil may reflect information … futures market increased the volatility of the cash market, and prices became more efficient. …

This paper studies the relationship between creditor protection and credit volatility. During the negative phase of the …

A growing body of recent macroeconomic evidence suggests that volatility is detrimental to economic growth. The … channels through which volatility affects growth, however, are less clear; substantive evidence based on disaggregate data is … almost non-existent. This paper offers a framework in which policy volatility has an adverse effect on firms' entry into …