economy that faces trade shocks, business cycle volatility reduces. For an economy with limited financial openness, and a …

-2011. To identify the components of discretionary expenditure, we use the volatility and persistence properties of the …

Options’ volatility forecasting represented, in the last decades, a very interesting and frequent domain of research in … forecasting stock options volatility. For this, we consider the volatility of the 4 most traded options at Euronext London … better the evolution of the volatility. Based on these models we realize forecasts that are finally compared with the real …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …

This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … - violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …-market specific volatility. The sample data cover periods both before and after the Global Financial Crisis (GFC). Both proxies are …

. However, our analysis also shows that the volatility of capital inflows such as remittances and FDI is harmful to economic …

several specifications approach the empirically observed volatility, although none of the models generates enough persistence … its volatility. …

This study examines the volatility of daily stock returns and the volatility of returns during trading and non … examine the reasons for the high volatility during trading hours. First, the price-determination procedure at the opening is … prices. Third, there is a two-hour day break in trading during a business day. The volatility of daily return calculated from …