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 …

, in addition to a double gamma process to reflect the stochastic nature of volatility coefficients. The leverage effect …. One application of this model is to price volatility contracts whose payoffs depend on realized variance or volatility … pricing based on the model estimated from historical data. The estimation of the model parameters is carried out by maximizing …

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

Persistenzmodellierung. Zu dieser gehören verschiedene Techniken der Zeitreihenanalyse (u. a. ADF-Test, VAR-Modelle, Impulse …

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

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 …

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 …