, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency … misalignments. On average, exchange rate volatility has a negative (even if not large) impact on trade flows. The extent of this …

simultaneous execution, may restrain stock market volatility. Design/methodology/approach -The authors use high-frequency data to … investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE …) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH …

Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …

different levels of volatility. Additionally, West and East coast markets differ in the time spent in each regime. The extremely … high volatility regime describes West coast prices during the California electricity crisis, but East coast prices are also … frequent in that regime. We find evidence of synchronization of price dynamics in the mean-reverting and highest volatility …

propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with …

always reverse, in theory and in practice. Patterns in return-volatility asymmetries are conjectured and investigated jointly …

``Disorder-induced volatility'' (DIV) describes the enhanced fluctuations of collective behaviors exhibited by bistable … random networks demonstrate the ubiquity and robustness of DIV, which is proposed as a possible cause of excess volatility in …

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

investment and aggregate volatility. Agents trade riskless assets to share the aggregate risk, so that in equilibrium a higher … volatility increases the certainty-equivalent future return for low-risk-averse individuals, which hold a long position in risky …