For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

In this paper, we analyze empirical data, accounting for coordination processes between complex systems (bimanual coordination, interpersonal coordination, and synchronization with a fractal metronome), by using a recently proposed method: detrended cross-correlation analysis (DCCA). This work...

We investigate the auto-correlations and cross-correlations of the volatility time series in the Brazilian stock and commodity market, using the recently introduced Detrended Cross-Correlation Analysis. We find that the auto-correlations in stock volatilities are weaker than the...

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous-time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...

Relative Intra-day Volume on the NYSE Modelled as a Doubly Stochastic Binomial Point Process.If intra-day volume is modelled as a Cox point process, then relative intra-day cumulative volume (intra-day cumulative volume divided by final total volume) is shown to be a novel generalization of a...

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in...

This study focuses on the behavior of the futures contract of the Athens FTSE/ATHEXMid40 index. Unlike the large-cap ATHEX20 index, this category includes mid-cap high growth companies whose futures market, however, is characterized by low volume and liquidity. This study offers evidence for the...

This paper examines the existence and nature of volatility clustering phenomena in the Athens FTSE20 index futures contract. An issue that permanently bewilders researchers, volatility clustering or persistence has been found present in most financial markets across the world. The purpose of...

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable...

Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this...