Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

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 …

Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns …

performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … deteriorates moderately, indicating the likely existence of additional random factors such as stochastic volatility. …

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy …-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations … several stochastic volatility models are formally compared under different priors on the parameters. …

, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also …, N. (2004). 'Power variation and stochastic volatility: a review and some new results', Journal of Applied Probability …