market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …

on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …

phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to …

shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …