institutions predicts higher volatility and greater noise in stock prices, as well as greater fragility at times of crisis. When …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is … advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …