resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …

volatility and exogenous shocks in the price and inventory series are controlled for in estimation. Redressing the empirical … linkage between volatility, prices, and inventories is important because volatility increases returns to inventories, which in … volatility is an important determinant in the short-run conditional mean processes for both the price and inventories. The …

increases volatility of terms of trade and thus the number and frequency of macroeconomic shocks. One would expect modern … not help much in terms of volatility …

the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …

This paper explores the relationship between special-interest groups and volatility of GDP growth. In an unbalanced … the volatility of GDP growth. …

The purpose of this paper is to empirically determine the causes of the worldwide diversity of inflation volatility. We … higher inflation volatility. …