shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at … examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order … process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing …

forecasting tail risk measures. For comparison, a range of conditional return distributions are combined with four volatility …

average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The …

-end varieties is likely to affect its export growth and volatility. We show that a higher sensitivity to per capita income tends to … increase the volatility of high-end variety exports. However, a lower sensitivity to distance reduces volatility through a …

The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets … in the Gulf Cooperation Council countries. A clear jump in net transmissions from both markets was spotted during the …