volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …

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 …

This dissertation consists of two essays dealing respectively with estimation of volatility and test for a jump using … high frequency data. Chapter 1 investigates the properties of pre-averaging estimators of integrated volatility, ?first …-optimal estimator of the integrated volatility. In addition, we derive a bootstrap statistic to assess the variance of our estimator …