oil price changes and (iii) an increase in EPU has a delayed positive effect on volatility. …

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy … futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models … performance. Using the crude oil, heating oil, gaso- line and propane volatility futures energy time series with one month and …

volatility of the underlying ISE-30 index. This study examines the effect of index warrant trading on the volatility of the index … from August 13, 2010, to August 2, 2011. In order to capture the ex-ante and ex-post varying volatility of the underlying … a decline in the volatility of the underlying ISE-30 index during the research period. …

results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes …

asset to the riskless rate of interest. Finally, our Binomial Leverage-Volatility theorem provides a precise link between … leverage and volatility. …

, and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices … cycle in which asset prices display clustered volatility and fat tails even though all the shocks are essentially Gaussian. …

volatility for a given distribution of the payoff states. We show that the maximal aggregate volatility is attained in a noise …

data updated to December 2012. We also construct two types of reweightedindicators: one type using volatility measures and …, we recommend monitoring one of the volatility-weighted indicators and one of the persistence-weighted indicators.  …

We examine the dynamic relationship between self-tender returns, volatility and order imbalances. Since market makers … care more about volatilities than inventory risk, they tend to lower the bid-ask spread to mitigate volatility. This result …. A time-varying GARCH model also confirms the results that an order imbalance does not affect volatility during self …