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 …

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

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 …

small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation … (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da … Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a … the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston …