experiment that regularly produces valuation bubble and crash events. Global sessions involved real time trades between subjects …

its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other … positions. When disagreement about news arrival frequency is low, volatility exhibits mean reversion because extreme optimists … arrival rate leads to volatility persistence. When news is absent in such environments, volatility sellers dominate, and …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

discrimination, however, such equilibria can arise solely from the influence of asset price volatility on participants strategically … correlated with the degree of price volatility exhibited by the otherwise similar assets being financed by members of each of …

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …