multiscaling in Finnish stock markets.Furthermore, the scaling factor and the long-memory parameters of the volatility series are …This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used … to measure price changes, which dependence is often referred to as the scaling law.Scaling factor, on the other hand …

This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used … to measure price changes, which dependence is often referred to as the scaling law. Scaling factor, on the other hand …, refers to the elasticity of the volatility measure with respect to the timescale. This paper studies, in particular, whether …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

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 …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

of stock return volatility. Out-of-sample forecast performances of the FC models and linear models where the coefficients …

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …