Lithuania through an analysis of the features (volatility and spikes) of Lithuanian and Polish day-ahead electricity market … energy policy. The following indicators have been calculated to determine electricity market price volatility: the … that electricity market-price volatility is moderate in Poland and high in Lithuania. Electricity price spikes have been an …

Less developed countries tend to experience higher output volatility, a fact that is in part explained by their … characterized by higher levels of output volatility. We provide novel empirical evidence that less complex industries are indeed …

of determining the degree of dependence in both the level and the volatility of the processes. In the latter case, we use … the squared returns as a proxy for the volatility. We also investigate the cyclical pattern observed in the data and in … higher degree of dependence in both the level and the volatility during the bull periods. …

the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant … price volatility on bubbles at the sector-level. …

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is …

they allow integrating the dynamic nature of volatility and distributions flat tails. …

volume are different depending on whether a situation is characterised by a high or low volatility. …

examines the impact of past currency appreciations and depreciations on the price as well as the volatility of stocks …. Similarly, it investigates the influence of past stock price changes on the value as well as the volatility of the domestic …

market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …