importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

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 …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

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

This paper examines the determinants of the volatility in growth rates, seeking to expand on a very limited literature … which has focused almost exclusively on financial determinants of volatility. An analysis of 41 variables and their effects … on growth volatility yields some surprising results: the relationship between financial sophistication and volatility is …

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time … intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been … volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away …

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …