1970 and 2002, their volatility and effects on the Latin American macroeconomic performance. Volatility is measured by … means of the variation coefficient, which is calculated in two forms. The results show that the volatility of capital …

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily … time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We … also find an inverse relationship between inventory levels and lumber futures volatility. …

a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million …

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15 …

Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or … not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates … identify the detrimental e¤ects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

. More specifically, we bring in information about the term structure of implied volatility from derivatives data and we use …, we obtain forecasts of volatility that can be useful for derivatives pricing and hedging purposes. Finally, our results …