framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

volatility and shocks the cross-section of stock returns. Due to agent's asymmetric aversion, financial stress affords positive …

We study the emergence of bubbles in a laboratory experiment with large groups of individuals. The realized price is …

correlation. In terms of volatility contagion, we find that an increase in VRPs in the United States significantly reduces equity …

experiment in which we vary the length of the horizon and whether the end time is definite or indefinite. We find recurring …