volatility. Most often, however, there is no market or historical data available to provide an accurate estimate for this … parameter. A common approach to estimating the project volatility in such instances is to use a Monte Carlo simulation where one … the volatility parameter can be determined. Nonetheless, the simulation estimation method originally suggested for this …

In this paper, we investigate the relationship between volatility of and liquidity provision through the aggregation of … offer liquidity on buy-side when option price is high, but the phenomena are not evident for the market makers. Overall …, nonmarket makers provide less liquidity when volatility is high. In contrast, market makers provide the same or more liquidity …

expected stock returns and volatility in emerging stock markets. The 1997¡V1998 global emerging market crisis seems to induce …

positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …

Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … all information about financial assets is contained in its price is implemented in current approaches to modeling the … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …

. Consequently we re-examine the relationship between volatility and volume while distinguishing between returns within a trading day … and returns across trading days. Our results indicate that the volatility exhibited by both types of returns is positively … and significantly related to volume. Hence the results provide an additional explanation for short-term volatility …

significant changes in the stock mean returns, volatility is significantly reduced three months after Taiwan opened its stock …

naked short selling raises both volatility and bid-ask spread, 3) Disclosure requirements raise volatility and reduce … trading volume, and 4) No regulation is effective against price decline. Overall, all short-sale regulations harm market …

autoregressive conditional heteroscedasticity (GARCH) model were employed to evaluate event-induced abnormal returns and volatility … REITs produced positive impacts. In most cases, these events also increased asset volatility. These findings help us … understand the adjustment of stock returns and volatility due to past ownership changes, and may shed light on similar changes by …