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 …

volatility of the affected stocks with nonparametric tests on individual stocks, difference-in-difference tests and other … significant reduction in turnover and volatility (measured in terms of stock price volatility and the high–low price range) and …

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 …

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

investment and aggregate volatility. Agents trade riskless assets to share the aggregate risk, so that in equilibrium a higher … volatility increases the certainty-equivalent future return for low-risk-averse individuals, which hold a long position in risky …