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 …

other products into account. We analyze the Dynamic Random Access Memory industry (DRAM chips are semiconductor chips) with …

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 …

We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with … risk, financial leverage generates little variation in stock return volatility at the market level but significant …, there is significant variation in stock return volatility at the market and firm level. In such an economy, financial …

The volatility of a share or market is used as a proxy for risk in a number offinancial calculations. Volatility …-varying volatility of the South African stock andbond market, as well as that of the US stock market, is of interest to fundmanagers, and … can have an effect on portfolio selection.The background to the individual markets, volatility in general, and findings …

This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance … literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We …) model to investigate the dynamic relationship among leverage, volatility and (realized) risk premium. We find a much larger …