Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market … microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we … examine the average prices and the return volatility of fine wines traded on three different trading systems: automated …

short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike … shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts … of market volatility and elude standard asset pricing models …

.---------------------------------------------The analysis of volatility in the prices received by producers of coffee in the international market has demonstrated the … persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH … volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these …

NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we … develop the analytical framework motivating the firm-market volatility relationship. We unravel three new findings on … volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a …

technology fundamentals. Negative volatility-price dependence arises if the market dynamics is accounted for by common shocks … under certain conditions, these volatility-price patterns can be used to identify the exercise of market power …The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and …

NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we … develop an analytical framework motivating the firm-market volatility relationship. We present three new findings on … volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a …

Purpose The purpose of this paper is to assess the duration of the UK commercial property cycles, their volatility and … persistence to gauge future market direction. Design/methodology/approach The study employs a novel approach to dissect cycles in … a form of a three-step algorithm. First, the Hodrick-Prescott de-trends the selected variables. Second, volatility …