From a theoretical point of view, greater trade openness affects firm-level volatility by …

allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the … interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide … forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

of the World Pandemic Uncertainty Index on the German stock market index (DAX index) for the 1996Q1 to 2020Q3 period … market index and World Pandemic Uncertainty Index, real effective exchange rate, and industrial production index, consumer … in the long-run. Moreover, in both high and low volatile regimes, the world pandemic uncertainty index and real effective …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

– the BOI’s USD purchases have widened the negative deviation from covered interest parity. The higher moments of the risk … unaffected. The USD purchases simply shift the whole distribution towards higher USD/ILS values. Crash risk, for instance, is …

volatility and amplify the risk of market disruptions in fixed income markets. …In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find …

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …