growth and shocks volatility in a model with procyclical R&D and imperfect competition in goods and labour markets. We show …

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how …

volatility coefficient sigma(X_t,theta) with covariate process X=(X_t), t in[0,T], the function sigma(x,theta) being known up to … theta in Theta. For this model we consider a change point problem for the parameter theta in the volatility component. The …

This paper investigates the empirical association between stock market volatility and investor mood-proxies related to … volatility. The strength of association seems to vary with the location of an exchange on Earth with respect to the equator …

This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is … evidence of corn price volatility transmission to wheat market . Our results indicate that while shocks (unexpected news) in … crude oil market have significant impact on volatility in wheat and corn markets, the effect of crude oil price changes on …

This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle … measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four … exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger, causality effects of …

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …