This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and … volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two …-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 … different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that …

Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk … problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of … not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …