In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets …

The study of volatility transmission across markets commonly termed “volatility spillover” provides useful insights … volatility and information transmission across the Gulf Cooperation Council (GCC) markets. The model separates direct volatility … portfolio managers. Findings of the study show that effects of indirect volatility transmission are more prominent than direct …

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how …

Egypt in a wavelets transform framework. We investigate the direction of causality in the relationship inflation …-inflation uncertainty by combining component GARCH model, wavelets decomposition and scale-by-scale nonlinear causality test. We find a …

fluctuations can be used with a local volatility (diffusion coeffficient) to generate an exponential distribution for asset returns …, and also how fat tails for extreme returns are generated dynamically by a simple generalization of our new volatility …