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 …

hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and … market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

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 …

with stochastic volatility and jumps. The jumps do not only occur in the price process, but also in the volatility process …. The jump sizes in the volatility process are exponentially distributed. We extend this model class further by allowing the … jump sizes in the volatility process to follow a Gamma-distribution. This is a generalization of the former model class …