liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …

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 …

effect of these bans on liquidity, returns, volatility and market efficiency comparing a sample of 23 financial stocks with a …, volatility and market efficiency between the two groups, testifying the inability of restrictions to achieve the purpose for …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

volatility of the affected stocks with nonparametric tests on individual stocks, difference-in-difference tests and other … significant reduction in turnover and volatility (measured in terms of stock price volatility and the high–low price range) and …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …