Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This … paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility …

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and … Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be … NordPool. Prompted by these observations, this paper aims to understand whether volatility-price patterns can be mapped into …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is …

time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of …

volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different … origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect …

How has the European monetary integration, with the creation of the EMU, affected the stability and volatility of … foreign exchange? In order to answer this question, stability and volatility measures are defined and calculated. We then use … these to investigate the changes in the stability and volatility of 16 European currencies, and in the volatility of the …

information variables in the mean and variance equations. The volatility of markets changed somewhat over the period 1960-1990 and … correlation rises in periods when the conditional volatility of markets is large. There is some preliminary evidence that economic … variables such as the dividend yield and interest rates contain information about future volatility and correlation that is not …