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 …

variance in stochastic volatility models, thus providing a model-free and consistent alternative to realized variance. Its … robustness property means that if we have a stochastic volatility plus infrequent jumps process, then the difference between …. (2004). 'Power and bipower variation with stochastic volatility and jumps', Journal of Financial Econometrics, 2(1), 1 …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

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 …

incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January …This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any … 1992 to 31 May 2004. Using a conditional volatility framework that allows for excess kurtosis in returns, we find that CSV …

investigate the relationship between the Chinese stock market performance and domestic economic activity.China's stock market was … links between China's booming national economy and the domestic stock returns.Using both time-series and cross …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …