This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

There is extensive empirical research on the potential destabilizing effects of futures trading activity on spot market volatility. Rather than just focussing on spot volatility, this paper deals with the contemporaneous relationship between futures trading volume and the overall probability...

In this paper we provide additional evidence on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed in Andersen et al. (2003, Econometrica 71, 529-626). Our findings reveal not only a significant increase in spot trading activity, but also the...

This paper deals with the time evolution of stock market integration around the introductionof the euro. In particular we test whether the degree of integration between the main eurozonecountries increased after European monetary union. The contribution of the paper to the extantliterature is...