, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock’s upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible …In this paper we investigate price and volatility risk originating in linkages between energy and agricultural … commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility …

, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …

stability ; financial market volatility ; GARCH ; stock index futures ; derivatives … volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the …

GARCH (MGARCH) and rolling-window estimation techniques, we find evidence in support of the model. Our results have specific …