the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

differences of opinion is left, and hence volatility is decreased. …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

differences of opinion is left, and hence volatility is decreased. …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …