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 …

for price volatility and find that full market coupling may trigger quarter-hourly price valatility to decrease by a …Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we … therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market …