breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and … significantly increases volatility in financial markets. When introducing limits on re-use, we find that volatility is strictly …