In this paper we study the persistence properties of firm's asset and equity volatility for a
sample of non-financial iTraxx Europe companies during the 2004–2016 period. We …

This contribution studies the relationship between financial integration and the correlation of
business cycles in sub-Saharan African countries. We consider asymmetric dynamics during …

We examine the relation between news arrival intensity, volatility and volume at an intraday
frequency using a global dataset. The analysis is based on news analytics platforms that use …

La volatilitat dels actius de l'empresa és una de les principals variables en el modelat del
risc de crèdit, i es refereix al grau de les fluctuacions del valor de l'actiu de l'empresa. Tot i …

In this paper we propose an analysis of intra-industry volatility spillovers around Earnings
Dates. Since the seminal works of Ball and Brown (1968) and of Patell and Wolfson (1978) …