We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the … correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During …

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 …

mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more … appropriate than an additive one, as the volatility is a positive scale function and a multiplicative model provides a better … additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The …