joint impact of duration and microstructure variables on the returns volatility in the months before the event. The analysis …. Our results suggested that the effect of information on the returns volatility, as measured by several economic and …

impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities … gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility …

financial development affects growth only directly, that is, not through growth volatility. …

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index. …

, and investment in the face of high income volatility. We study this allocation problem in a precautionary saving and …

In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price …

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …