The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

This paper addresses the question if there are differences between time patterns in the volatility of investment across … demand shock is developed to predict aggregate investment in a sector. It is shown that under the assumptions made in the … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …

We argue that the role played by output-composition changes on the decline in US output volatility has been incorrectly …-percent of the volatility decline since the 1950’s. …

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 …