factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

pairs. A hybrid model based on microstructure approach was proposed. GARCH approach is used to reflect the volatility …

ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE …/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the … accurate measurement and reliable forecasting of volatility. This research report was conducted as an in-depth analysis of …

Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models …-time periodic representations of stochastic volatility models subject to time deformation are briefly discussed. …