multi-asset price impact model. The model setup is general---both flows and fundamental returns can be correlated for the … model, we propose a new VAR restriction. The equilibrium price impacts obey a factor structure, where each factor's price …

the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights …-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland …

Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in … investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a … secular trend, volatility clustering and calendar effects are two commonly occurring sources of such variation. To analyze …

. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news …% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis … contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this …