on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …

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

shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at … examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order … process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing …

forecasting tail risk measures. For comparison, a range of conditional return distributions are combined with four volatility …

average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The …

-end varieties is likely to affect its export growth and volatility. We show that a higher sensitivity to per capita income tends to … increase the volatility of high-end variety exports. However, a lower sensitivity to distance reduces volatility through a …