This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …

-food inflation in Pakistan. Food inflation volatility in Pakistan was found to be half of that observed in the world. Compared to …

, 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 … have short-run effects in models with price rigidities, but the exact impact depends on a number of features, such as the …

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 …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

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 …

-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating … past price changes, while other investors hold fully rational beliefs. We find that the model captures many features of …

frequent in that regime. We find evidence of synchronization of price dynamics in the mean-reverting and highest volatility …The U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price … different levels of volatility. Additionally, West and East coast markets differ in the time spent in each regime. The extremely …