Jones industrial average index (DJIA) for different periods of their historical daily data. We have analyzed the returns … autocorrelation function (ACF) and used detrended fluctuation analysis (DFA) to study returns variations. We also analyze the … volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of …

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby …, speculators' heterogeneity occasionally vanishes, e.g. due to panic-induced herding behavior, yielding extreme returns. Lasting … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …