Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …

In support of the financial-accelerator theory, evidence is found on countercyclical price-cost banking margins …

Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South … African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a … specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the …