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 …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

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 …

across the energy markets, along with a forecast of price volatility which provide price signals which can be incorporated … into their inter-jurisdiction energy trade planning. In addition, these market participants may consider price volatility … amendment and advancement in the electricity price determination system in 2009 in order to enhance the electricity pricing …

NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we … develop an analytical framework motivating the firm-market volatility relationship. We present three new findings on … volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a …

across the energy markets, along with a forecast of price volatility which provide price signals which can be incorporated … into their inter-jurisdiction energy trade planning. In addition, these market participants may consider price volatility … amendment and advancement in the electricity price determination system in 2009 in order to enhance the electricity pricing …

indices. It applied a multivariate stochastic volatility model to analyze the behavior of volatility trends in these markets … markets, especially for the early period of the sample. For the later period of the sample, the derived volatility trend … indicated volatility convergence among them. It might imply that the role of emerging market such as Asia in diversifying real …

characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and … fat-tail distributions for the innovations improve the volatility forecasts. Overall, EGARCH fits the best while the GJR …

In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First … univariate models. Second, we forecast crack spread volatility and contrast the performance of multivariate models for two …