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...

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...

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

The paper elaborates on the employment intensity of growth. Previous evidence regarding this question is surveyed. Empirical results concerning Europe and selected other industrial countries reveal that the cyclical link between unemployment and growth is still stable in the nineties. However,...

I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

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...

The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such...

We discuss efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman-Klass and Roger-Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on bridge estimator, are considerably more efficient than analogous...

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...