hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are … discovery by trading with contemporaneous returns while serving to reduce volatility. Swap dealer activity, however, is largely … unrelated to both contemporaneous returns and volatility. Our evidence is consistent with the hypothesis that hedge funds …

This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among … higher in Latin America. There is evidence of significant leverage effects and volatility persistence and, in the cases of …

funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial … markets. To the contrary, speculative trading activity largely reacts to market conditions and reduces volatility levels …

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to … allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We … find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …