volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set … Rahman et al (2002), our results indicated that the GARCH (1,1) model best describes the volatility of intraday returns …. Current volatility can be explained by past volatility that persists over time. Our results also show that the persistence in …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …

standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …

Estimation of liquidity costs in agricultural futures markets is challenging because bid-askspreads are usually not …

.Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …