The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

This paper attempts to determine whether or not the introduction of the euro affected the volatility of bilateral … breaks in volatility across investigated variables, there is high heterogeneity regarding the located dates. Moreover, the … realignments in the Exchange Rate Mechanism seem to play a significant role in the reduction of volatility in some European …

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 …

. Specifically, having modelled the market volatility return like a GARCH (1,1) process and having defined three regimes of … volatility (low, neutral and high), we find that most of the betas in volatility classes are meaningful and positive. We also …

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a … the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To …

purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical … results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …