In this paper we examine under what circumstances the information accumulated during market closing time and conveyed to the price formation at market opening may be exploited to predict where the stock price will be at the end of the trading day. In our sample of three financial time series, we...

This paper analyzes the relationship between complexity in cost structure (Jennings et al., 2013) and stock price volatility concerning Italian Listed Companies to determine over the period of crisis whether firm complexity is associated with risk. Using data collected for 153 available Italian...

This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998–2009. Several determinants are considered. In addition, I consider the connection between volatility and bond yield spreads. Volatility and central bank transparency are two factors common to...

This paper intends to present a methodology that foresees anticipated signal of intervention in the foreign exchange market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in force between February of 2002 and January of 2003. For...

This article provides an evaluation of the effects of age and generation on household car-use behavior in France, and sheds some light on household perception of fuel price volatility. Using repeated cross-section data from the French "Car Fleet" survey, a pseudo-panel averaging households in...

In this note we describe and compare two methodologies for calculating implied volatility of commodity prices, given the market prices of options on futures or implied volatilities, and a forward curve. The first methodology is fitting an exponential mean-reversion jump-diffusion model to the...

I perform a regression analysis to test two of the most famous heuristic rules existing in the literature about the behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new specification to test the sticky strike rule, which...

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to the realized volatility estimator. The family of realized range-based estimators is extended as three range-based estimators are introduced. These three realized Parkinson...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...