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 analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared …

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 …