Purpose – The purpose of this paper is to investigate the short‐run return and volatility spill‐overs across three … explore the return and volatility relationships. Findings – The return and volatility spill‐overs between the two developed … significant uni‐directional volatility spill‐over from the LME to the SHFE are documented. Research limitations/implications – The …

evidence of the importance of firm-specific idiosyncratic volatility as a determinant of earnings manipulation. The authors use … standard measures of earnings management and idiosyncratic volatility. The authors test the hypotheses with robust econometrics …. Further, the authors find a positive association between residual volatility and discretionary accruals whether accruals are …

investigate the empirical relation between price changes (volatility), trading volume and open interest in futures markets.  …Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures … employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors …

Purpose – The purpose of this paper is to examine the housing price volatility for eight capital cities in Australia … over 1987‐2007. Specifically, the volatility of Australian housing and its determinants were investigated. Design … volatility for eight capital cities in Australia. The Engle LM test was also utilised to examine the volatility clustering …

comprehensive investigation. Findings – Foreign aid positively associated with growth whereas the volatility of aid hurts it. Long …‐impact aid promotes growth more than short‐impact aid does. The volatility of short‐impact aid hurts growth, whereas the … volatility of long‐impact aid has no effect on it. Pure aid and its volatility have no effect on growth. Originality/value – This …

Purpose – Price forecasting is essential for risk management in deregulated electricity markets. The purpose of this … paper is to propose a hybrid technique using wavelet transform (WT) and multiple linear regression (MLR) to forecast price … profile in electricity markets. Design/methodology/approach – Price series is highly volatile and non‐stationary in nature. In …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …