The paper investigates returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets …

Lithuania through an analysis of the features (volatility and spikes) of Lithuanian and Polish day-ahead electricity market … energy policy. The following indicators have been calculated to determine electricity market price volatility: the … that electricity market-price volatility is moderate in Poland and high in Lithuania. Electricity price spikes have been an …

Less developed countries tend to experience higher output volatility, a fact that is in part explained by their … characterized by higher levels of output volatility. We provide novel empirical evidence that less complex industries are indeed …

of determining the degree of dependence in both the level and the volatility of the processes. In the latter case, we use … the squared returns as a proxy for the volatility. We also investigate the cyclical pattern observed in the data and in … higher degree of dependence in both the level and the volatility during the bull periods. …

the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant … price volatility on bubbles at the sector-level. …

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is …

directly measure the expected excess return. Among those tested are UIP, CAPM, and the Imperfect Knowledge Economics (IKE) gap … of the volatility can be detected, but primarily in the short-run dynamics and only after controlling for the gap effect … hypothesized effect of volatility was, in part, an omitted variable bias. …

significant changes in the stock mean returns, volatility is significantly reduced three months after Taiwan opened its stock …