We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns …

option. Larger expected volatilities in the population imply a higher value of the default option. When analyzing the impact …

estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but …

the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. In this study, the … in logarithmic increments leads to volatility clustering. Particularly, the result of the DFA on volatilities and traded …

volatilities in international capital flows for nine representative developing countries is given for 1977–2001. …

We build a new asset pricing framework to study the effects of aggregate illiquidity on asset prices, volatilities and … consistent with empirical studies on the effects of illiquidity on asset returns, volatilities and correlations. We present the … that aggregate illiquidity has on expected returns, volatilities, correlations, CAPM-betas and Sharpe ratios. We find clear …