Recent empirical studies have argued that the temporal dependencies in "nancialmarket volatility are best characterized …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume …

We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for … generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate … developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes …

areinfluenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also … volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these … the volatility of exchange rate in these countries.We however observed that the ARCH family of models does not always …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …