After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great … countries. This Great Recession period was characterized by a sharp apparent increase in output volatility. In this paper we … evaluate whether this sudden event is likely to be temporary. Whether or not this new volatility regime is likely to persist …

the concept of informativeness to assess if repurchases improve the private information content of stock prices. Our … Roll (1988) to follow the change in informativeness before and after the announcement of a transaction. The determinants of … informativeness and CARs are also investigated. Our results are negative: Informativeness does not systematically improve, but may …

price, he is also willing to buy $\alpha$ at that price. We show that this informativeness ordering is complete and is … also show that no prior-independent informativeness ordering based on similar premises exists. …

determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for … power for the differences in the premia is approximately 64%. Implied Volatility and PRV by themselves also have substantial … amount of the variation in the data. We therefore conclude that variance risk premia, volatility and the risk free rate are …

This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first …

this paper, we first extract implied volatility indicators from the prices of the most actively traded option contracts on …

adopt new strategies : merger, simple or mutual links of interoperability. We develop a model of industrial organization to … practice" of postmarkets incites them to accept this type of agreements. On the other hand, a merger between incumbent clearing … houses can occur under some conditions. The merger is beneficial to these last ones as well as to the investors, but it is …

/renewed form of knowledge) in post merger phases. In these researches, Knowledge integration appears as a key issue for the success … on an empirical study of a merger between 3 French public administrations, we propose a framework to analyze individual …