The objective of this paper is to calculate, model, and forecast realized volatility using high-frequency stock … volatility. Second, as a result of several test statistics for long memory in realized volatility, it is found that the realized … volatility series can be modelled as an ARFIMA process. The ARFIMA's forecasting performance is assessed in a simulation study …

, and hence lead to higher probability of bank failure. However, this criticism does not consider the implicit costs of … bankruptcy. If a bank is bankrupt, it will lose the benefit of deposit insurance. Moreover, it will lose the possible future … find a closed-form solution for bank equity in terms of asset-to-debt ratio. In my extension model, I relax the assumption …

. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

purposes, we construct an agent-based simulation model with asset traders, commercial banks and a central bank. Our …

central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the … historical shift in the Fed's policy rule and is capable of reproducing the decline in the volatility of postwar U.S. inflation …