distributions retain their shape, but not their localization (mean ) or size (volatility ) as the classical Gaussian distributions … time T and frequency . For example, the volatility of the lognormal financial price distribution, derived from the … generally, the volatility of the price return distributions of Calvet and Fisher's (2002) Multifractal Model for Asset Returns …

rigidity in response to the second shock than the first. The second data set consists of all publicly available information … about the shocks. Content analysis of these information reveals that the first shock is larger and more persistent, and the … market has more information on it than the second. We conclude, therefore, that prices are more flexible in response to cost …

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an … insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and …

Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long … risk drastically. …

newly established ADEX can provide futures contracts that serve as a focal point of information assimilation and fulfil …