e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …

prices from calibrated Black-Scholes model to that of calibrated jump-diffusion model. Although both models assume constant … volatility, the fact that Black-Scholes model ignores abnormal asset price changes due to jumps is likely to under-price the VA …

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and … stock selection and trading framework identifies overnight price gaps based on an advanced jump test procedure and exploits …

permutation test to detect jumps in economic variables such as volatility, trading activity, and liquidity. These potential …

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated … by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the … guide for selecting the jump threshold. Because of this we develop a sample-based method. Our method estimates the number of …

-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic …