particular in terms of scaling distribution preservation. Identified distributions of all simulated processes are compared with …

, greater is the nonlinearity. Analysis of nonlinear data is made with emphasis on scaling properties. dI/dV is found to … voltage scales — is Vo, the scale for onset of nonlinearity and other is Vs, the scale for saturation. The transport exponents …, temperature-dependent nonlinearity is discussed to illustrate how the study of nonlinear conduction proves useful to unravel the …

definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to …This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different … 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of …

This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used … to measure price changes, which dependence is often referred to as the scaling law. Scaling factor, on the other hand …, refers to the elasticity of the volatility measure with respect to the timescale. This paper studies, in particular, whether …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …

of stock return volatility. Out-of-sample forecast performances of the FC models and linear models where the coefficients …

The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …

behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and … standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original …Volatility series (defined as the magnitude of the increments between successive elements) of five different …

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …