-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the …

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets. …

returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …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 …

price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …