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News and noise: do investors react to stock split announcements differently during periods of high and low market volatility?

Johnson, Steve; Stretcher, Robert - In: Journal of Economics and Finance 35 (2011) 1, pp. 71-78

Persistent link: https://www.econbiz.de/10008925202

Long-Range Dependence in U.S. Home Price Volatility

Miles, William - In: The Journal of Real Estate Finance and Economics 42 (2011) 3, pp. 329-347

Persistent link: https://www.econbiz.de/10008926161

Liquidity and Market Microstructure Noise: Evidence from the Pekao Data

Doman, Malgorzata - In: Dynamic Econometric Models 10 (2010), pp. 5-14

realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise … from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of … realized volatility calculation. Moreover, we check the linkages between the noise and some liquidity measures. …

Persistent link: https://www.econbiz.de/10009002086

Financial Transactions Taxes

Shome, Parthasarathi - eSocialSciences - 2011

This paper attempts to address both theoretical and practical considerations for a tax such as financial transactions taxes (FTT). It includes examples of FTT in the wider context, for example, on stocks and derivatives, currency transactions, and tangible property. Most of the discussion...

Persistent link: https://www.econbiz.de/10009002246

THE IMPACT OF OVERCONFIDENCE BIAS AND DISPOSITION EFFECT ON THE VOLUME OF TRANSACTION AND THE VOLATILITY OF THE FRENCH STOCK MARKET

SIWAR, Ellouz - In: Journal of Applied Economic Sciences 6 (2011) 1(15)/ Spring 2011, pp. 61-83

phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to …

Persistent link: https://www.econbiz.de/10009002542

Study of the Correlation between the Romanian Stock Market and S&P500 Index during 2007-2009

Panait, Iulian - In: Romanian Economic Journal 14 (2011) 39, pp. 233-255

This article aims to study the evolution of the Bucharest Stock Exchange (BSE) and the particularities of its correlation with international stock markets during Jan 2007 - Dec 2009. The linear regression and correlation analysis on weekly and monthly data shows a good degree of synchronization...

Persistent link: https://www.econbiz.de/10009002713

Heavy tails and electricity prices

Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2005

particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of returns. In this paper we first …

Persistent link: https://www.econbiz.de/10009003614

A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)

Garlinski, Tomasz; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 1999

We discuss the origins and the possible reasons for the sudden death of the VOLAX contract.

Persistent link: https://www.econbiz.de/10009003627

The Drivers of the CEE Exchange Rate Volatility - Empirical Perspective in the context of the Recent Financial Crisis

Morar Triandafil, Cristina; Brezeanu, Petre; Huidumac, … - In: Journal for Economic Forecasting (2011) 1, pp. 212-229

This paper focuses on the CEE countries volatility captured by the exchange rate dynamics. In the first part, the … the risk of financial contagion. Volatility will be approached bi-dimensionally, from the perspective of the permanent and … transitory dimensions. We conclude that volatility is of long-term nature in the CEE countries, with a certain degree of …

Persistent link: https://www.econbiz.de/10009003981

Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

Hansen, Peter R.; Lunde, Asger - School of Economics and Management, University of Aarhus - 2010

framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter …. Our analysis is motivated by the recent literature on realized (volatility) measures, such as the realized variance, that … are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the DJIA stocks we find …

Persistent link: https://www.econbiz.de/10008602579