-price monetary model and the Mundell-Fleming model. These models are the theoretical basis for the estimation of latent structural …

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …

This paper uncovers ongoing trends in idiosyncratic earnings volatility across generations by decomposing residual …

higher permanent inequality and higher volatility. However, taking the welfare state and its institutions into account, we … ; Transitory Income Volatility ; Earnings Dynamics ; Safety Net ; Transfer Payments …

modelling approach and estimation results for the trade submodels are presented in some detail and simmulation results for the …