New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

amount of assets exchanged in the most liquid time step. However, our model is not showing raising average volatility on long …

with heterogeneous beliefs reach a trade-off between the cost of a precise estimation (variable depending on the agent) and …

heterogeneous beliefs reach a trade-o between the cost of a precise estimation (variable depending on the agent) and the expected …

different (low and high volatility) regimes. Our empirical investigation looks at the EUR/USD currency market. Our results show … impact on trading activity across market conditions. However, the change in elasticity between low and high volatility … penalize chartists more than fundamentalists, it could reduce exchange rate volatility. …

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …