empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after … scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we …. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly …

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

conditional volatility pattern of the Malaysian stock index over the period from 1994 to 2004. In an attempt to isolate the effect … the three sub periods and provide strong explanation for both return volatility pattern on Malaysian capital market. While … post crisis period only. While volume serves as mixture of distribution explaining return distribution and volatility …

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow …