joint impact of duration and microstructure variables on the returns volatility in the months before the event. The analysis …. Our results suggested that the effect of information on the returns volatility, as measured by several economic and …

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …

setter in the setting of XAMS improves market efficiency while does not significantly influence price volatility of the …

This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising … carbon prices on volatility spillovers. The study employs a rich dataset of 107,352 hourly prices spanning from January 2010 … volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market …

not only past performance and volatility, we include additional contextual information such as macro and risk appetite … financial mathematics, namely net performance, Sharpe and Sortino ratios, maximum drawdown, maximum drawdown over volatility …

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …

We seek to explain the economic volatility of the last 6 years, in particular the rapid expansion and contraction of … determined - the knowledge sector - and the other with constant returns to scale. We introduce a new measure of volatility of … volatility then other sectors. We validate the main results on US macro economic data of real GDP by industry (2-3 digits SIC …

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables …