and systemic risk creation. The empirical evidence does not suggest that the introduction of an FTT reduces volatility or …

Utilizing a panel data set for 13 developed economies, this paper examines the volatility of capital flows following … capital volatility is affected by the interaction between de jure financial liberalization (an index of liberalization) and de … found to increase capital volatility as expected. At lower volumes of capital, financial liberalization reduces capital …

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

overlapping monthly data of in-the-money, at-the-money and out-of-the-money calls indicates that the implied volatility of out …-of-the-money options contains more information about future volatility than does historical volatility. On the other hand, the implied … volatility of the in-the-money and at-the-money calls has poor explanatory power about future volatility. …

, the main objective of this paper is to test whether overconfidence bias can explain excessive volatility witnessed during … asymmetric effect of volatility for all equity market indexes. The relation between excessive trading volume of overconfident … investors and excessive prices volatility is then estimated. The results indicate that conditional volatility is positively …

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

Accurately modeling and predicting the mean and volatility of electricity prices can be of great importance to value … electricity, bid or hedge against the volatility of electricity prices and manage risk. The paper applies various autoregressive …–GARCH-M models are in general an effective tool for modeling and forecasting the mean and volatility of electricity prices, while …

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data … using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence … of volatility regime-switching in stock indices and T-bond over the crisis period. As regards the process of correlation …

persistent, overreactive volatility, this paper implies that Asian countries should work together more closely during financial …