instruments. This model will have very big impacts for the banks because of returns and equities inducted volatility. We tried to …

We discuss the relevance of the volatility as a risk measure. By considering recent studies on tick by tick data and …

instruments. We calculate the volatility in each of these three alternative income metrics for a sample of French banks during … 2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the … volatility of comprehensive income is nearly twice that of net income, and the volatility of full fair value income is nearly …

Current models for predicting volatility do not incorporate information flow and are solely based on historical … predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the … flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may …

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

return and volatility than their non-Shariah compliant counterparts. …

, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are … increase in switching intensity reduces the return volatility and in particular a low switching intensity reduces the price … volatility and increases the level of the significant ACs, but the effect becomes opposite when the switching intensity is high …