This article reports a new seasonality in the volatility of Eurofutures contracts as a function of the time left before … specific dates, with typically one expiry per quarter for Eurofutures, leads to a new type of volatility seasonality as a … function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures …

periods are equal. The statistical properties of the test are established by asymptotic theory and simulations. We apply this …

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine … whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series … excess volatility, time series analysis identifies a long‐run relationship between share market value and dividends …

results show that the incidence of informal employment is directly linked with EPL, volatility, and labor bargaining power. We …

estimation methodology, we investigate the degree and direction of dissemination in the volatility of economic growth. Our …’s economic growth volatility to affect other countries. Thus, an economic recession for example in one country, does not affect … all countries equally across regime type. Second, growth volatility is not simply a North-South phenomenon, but a South …

Abstract This paper uses a dynamic framework of a small open economy to study the volatility effects of partially … stabilizing, i. e. lead to a lower volatility than a fully anticipated monetary policy shock of the same form. (ii) However, we …

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to … volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only … finds ME&A markets to be unpredictable. The findings on volatility in the emerging market indicate that eight out of the ten …