Interdependence of the mispricing, volatility, volume and open interest of stock futures and the volatility and volume … that persists for one day but is not explained by other variables. An increase in the volatility of futures is generally … followed by an increase in the volatility of the underlying. The volatility and volume of futures and the underlying exhibit …

sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of …This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …

-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed … Salmon (2004). Four volatility measures are employed. Findings -The findings depict the presence of herding over two … confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …

to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …