In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

This paper examines the effect of analysts' recommendations on stock return, volume and volatility. The study covers a …

expectedperformance of the group of companies concerned, but also affects performance volatility. Itis expected, according to the variant …

¿ market value, and to examine its influence on volatility. The sample used contains all the firms that, while trading in the … certification. To estimate the variation in volatility, we have used four tests, two parametric, one non-parametric and a proposal … certification, increasing also volatility. El objetivo del presente estudio consiste en analizar el impacto que la publicación de la …

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction … their mean and volatility over time. The paper discusses applications of the methodology to identifying changes in growth … performances, and examines the timing of growth and volatility regime switching between production sectors. Conclusions to emerge …

Can pegging reduce real as well as nominal, and multilateral as well as bilateral exchange rate volatility? We … volatility against the anchor currency increase steadily with regime flexibility. Real bilateral volatility against non …-anchor currencies and real effective exchange rate volatility are significantly higher under independent floats, but are otherwise …

Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006 …. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a … horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for …