This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...

We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that...

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...