market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …

The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise … from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of … realized volatility calculation. Moreover, we check the linkages between the noise and some liquidity measures. …

to gauge event-time volatility, we attribute this fast information aggregation to the bookbuilding process and to the …

joint impact of duration and microstructure variables on the returns volatility in the months before the event. The analysis …. Our results suggested that the effect of information on the returns volatility, as measured by several economic and …

microstructure based on accurate volatility modeling. The paper examines the multifractality of index price series on daily data of …. Multifractals describe the cascade of volatility of returns and are suited for research at different time scales simultaneously …. The Hurst exponent calculated from the scaling function indicates persistence in volatility of index returns. The choice …

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price …