This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The …

can be decomposed into a standard CAPM volatility-level premium plus an additional volatility-uncertainty premium. The … volatility between the two states. In an empirical application the model is estimated for the U.S. stock market 1836-2003. We … unobservable states. Our results show that the high-risk regime has a volatility of 36.28 % on an annual basis while the low …

investors having high marginal utility in states of the world characterized by either deflation or high inflation. …

regressions that feature time-varying regression coe cients and stochastic volatility. We find that the gains from using our model …