capture the main characteristics of asset returns, such as leptokurtosis and asymmetric distribution, volatility clustering … must employ different volatility techniques in order to forecast accurately the VaR for the two trading positions …

principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling. …

This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …

. When new information arrives, the market's expectations change. Therefore, prices fluctuate. Thus, price volatility is due … to information arrivals and hence, volatility can be forecast, based on the up-to-date information. However, when the … frame work to study risk and return, so that, we can gain a better understanding of market volatility. …

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility … regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static … relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is …

volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic … fluctuations in long run volatility even after controlling for the incoming order flow. The book is less informative for large …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …