limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

, testimonies, and FOMC meetings (STF's) - and volatility in the 30-year U.S. Treasury bond futures market. Using high … volatility, that this impact depends on the transmission of information (rather than just noise), and that this information …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …