volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops … transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures …

at the University of Montreal. With a bivariate probit model with selectivity bias, the variables explaining persistence …

This paper studies the persistence of innovation and the dynamics of innovation output in Dutch manufacturing using … handling the initial conditions problem. We find that there is no evidence of true persistence in achieving technological …

This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists …. The performance of the model is spectacular when compared to a benchmark single-component volatility model that is well …

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility …

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …