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 …

relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset … volatility of intraday returns. Our results also show that the persistence in volatility remains in the intraday return series … as an information variable has quite a limited effect on the volatility of intraday returns in the Shanghai stock market …

statistical theory is especially simple. All models can be represented by a graph with one vertex for each variable. The vertices …

Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean … commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across …

Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is … understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An …

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 …