claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis … volatility and implied volatility. A new method is then provided to estimate the implied volatility from the model. The third …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume …

-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our … findings are robust to lag-specification, volatility measure, and consistent with full BEKK-GARCH estimation results. Further …

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to … Hurst exponent may be due to either a time-varying range, or standard deviation, or both of these simultaneously, values for … the range, standard deviation and local Hurst exponent are recorded and analyzed separately. To illustrate this approach …

, wavelets, and instant messaging as a comprehensive decision support solution to address data utility and resource availability …

-NAFTA period, the volatility of pair-wise correlation of business cycles declined during NAFTA. In addition, we conclude that, in …