currency pairs using a sample of daily data spanning more than 20 years. Finding that risk models accommodating both volatility …

employ daily values of one from the main indexes of the Bucharest Stock Exchange. We use a GARCH model to reveal the monthly … seasonality not only on indexes returns but also on the capital market volatility. The results indicate significant changes in the …

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock’s upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …