prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … tourists. The empirical results show asymmetric impacts of positive and negative shocks on the volatility of the change in the … number of Group-type and Medical-type tourists, while Individual-type tourists display a symmetric volatility pattern …