Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The …

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports … long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility … exchange rate volatility is an important factor in explaining the trade pattern of wheat worldwide. …

Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has …. The results clearly support the observed increasing volatility phenomenon and provide a quantitative explanation for it. …

current term structure of volatilities. The input term structure of volatility can be either the short term volatility or the … yield volatility. Sandmann and Sondermann derived conditions for the calibration to be feasible when the conditional short … rate volatility is used. In this paper conditions are investigated under which calibration to the yield volatility is …

properties of the computed volatility surface are discussed, including the effect of the Bayesian prior on the shape of the … surface and on the implied volatility smile/skew. The method is illustrated by calibrating to market prices of Dollar …-Deutschmark over-the-counter options and computing interpolated implied-volatility curves. …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …