volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation …The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …

We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output … error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of … sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …