volatility …

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …

alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility …

, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single … can reverse under heteroskedasticity, especially when the conditional mean and variance are both persistent. In such cases …. Heteroskedasticity can increase dramatically the apparent asymptotic power advantages of long-horizon regressions to reject constant …