the volatility of the returns accounting for intra-day movements and day-of-the-week effects. Our findings show that real … are driven by differences in key market participants. Volatility of the returns is accounted for at the beginning and end … volatility by the middle of the business week. Our findings yield insights into the process of stock market integration in the EU …

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate … to the development of time series models of volatility. This paper proposes an alternative method for forecasting … volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The …

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

depends on the same parameters, which are inputs of NPV method. Additional important parameter is volatility as a measure of … flexibility and surrounding volatility. The best benefits these methods bring when NPV is near to zero. The main areas of their …

everywhere, every company has the flexibility, but its value depends on volatility. It order to utilize it some selection is … decisions at high certainty or at risk with zero volatility, where the option value is close to zero. Real options give some …

The paper studies the patterns of volatility in firm growth rates and stock prices during the early phase of the life … industrial and financial volatility and the relationship between this co-evolution and mechanisms of Schumpetarian creative …

We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT … properties we also utilize a rarely used measure of volatility–the Garman Klass estimator – to provide new insights in intraday … and interday volatility. This nonparametric measure incorporates the open, close, high and low price within a particular …