, 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 …

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets … macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the … natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and …

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

predictive power for stock returns, volatility, and trading volume. In intertemporal and cross-sectional regression analyses, we … find no significant evidence that investor sentiment from Internet postings has predictive power for volatility and trading …

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 …