impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities … gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility …

financial development affects growth only directly, that is, not through growth volatility. …

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index. …

, and investment in the face of high income volatility. We study this allocation problem in a precautionary saving and …

In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price …

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

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 …