We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility … regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static … relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is …

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out … evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models … requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to …

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility … regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static … relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is …

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different … origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …