at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading … (ICE Futures). The typical U-shaped pattern of intraday volatility, that is often observed in organized financial markets …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

run. Thus, the estimation period shows that with increasing forecasting horizon predictability of simple real returns of …