We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … rates of price change and price dispersion, both at the level of individual products and product groups. However, we find no … correlation between the rates of price change and price variability. Together with results from similar studies, Tommasi (1993 …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these …

and nominal price determination may increase the volatility of the European business cycle. Empirical evidence of … departure, I argue that nominal price rigidity in Europe is likely to increase, while real rigidities are likely to decrease, as … increasing covariation of price inflation and declining correlation of wage inflation and real wage growth within EMU countries …

The authors develop and test a model to study the influence of inventory-on-hand and price-based reference points on … positive and negative deviations from category price expectations. The model is estimated on eleven product categories. The …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …