, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals … hits lead changes in market volatility. I show that a regressor based on search engine data can provide a meaningful …

hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we … investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests …. Besides it also enables us to empirically measure aggregate liquidity risks by these test statistics. As byproducts …

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured …

volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …