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 …

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 …

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic …,good power, and good jump detection capabilities revealed by the confusion matrixcomprised of jump classification probabilities …, the second chapter proposes a simple reduced formframework for modelling and forecasting daily return volatility. The …

This dissertation consists of two essays dealing respectively with estimation of volatility and test for a jump using … high frequency data. Chapter 1 investigates the properties of pre-averaging estimators of integrated volatility, ?first …-optimal estimator of the integrated volatility. In addition, we derive a bootstrap statistic to assess the variance of our estimator …

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 …

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 …

performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly … biased and inefficient predictor ofrealized volatility, with bias most prominent in live cattle. While significant returns … overprices volatility. This overpricing is consistent with ashort-term risk premium whose effect is magnified by extreme changes …

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education … programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash … price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and …

for an application to the RFC for an $11,000,000 loan to put silver and gold mining enterprises in operation. The … will be lent large low grade properties and smaller but higher grade gold properties and silver mines promising large …