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Non-Poisson intermittent events in price formation in a Ising spin model of market

Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 480-486

volatility signal, typical of the real market data. …

Persistent link: https://www.econbiz.de/10011064138

Dynamical model of financial markets: fluctuating ‘temperature’ causes intermittent behavior of price changes

Kozuki, Naoki; Fuchikami, Nobuko - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 222-230

intraday data of foreign exchange market. The so-called ‘volatility’, a quantity indicating the risk or activity in financial …

Persistent link: https://www.econbiz.de/10011064609

Dynamical volatilities for yen–dollar exchange rates

Yoon, Seong-Min; Choi, J.S.; Christopher Lee, C.; Yum, … - In: Physica A: Statistical Mechanics and its Applications 359 (2006) C, pp. 569-575

the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponents κ=0.92 (1 …

Persistent link: https://www.econbiz.de/10011064641

Estimation for the change point of volatility in a stochastic differential equation

Iacus, Stefano M.; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1068-1092

We consider a multidimensional Itô process Y=(Yt)t∈[0,T] with some unknown drift coefficient process bt and volatility … change point problem for the parameter θ in the volatility component. The change is supposed to occur at some point t∗∈(0,T …

Persistent link: https://www.econbiz.de/10011064926

Testing the characteristics of a Lévy process

Reiß, Markus - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2808-2828

the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n …

Persistent link: https://www.econbiz.de/10011064996

A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS

Lopes, José Mário; Nunes, Luis C. - In: Journal of Macroeconomics 34 (2012) 4, pp. 1141-1153

We develop a general econometric model of currency crises and contagion that integrates a number of important features appearing in many different models recently proposed in the literature. In particular, we consider a Markov regime switching vector autoregression conditional heteroskedastic...

Persistent link: https://www.econbiz.de/10011065314

A unique “T+1 trading rule” in China: Theory and evidence

Guo, Ming; Li, Zhan; Tu, Zhiyong - In: Journal of Banking & Finance 36 (2012) 2, pp. 575-583

” reduces the total trading volume and price volatility, and improves the trend chasers’ welfare when trend-chasing is strong …

Persistent link: https://www.econbiz.de/10011065617

Exogenous volatility and the size of government in developing countries

Brückner, Markus; Gradstein, Mark - In: Journal of Development Economics 105 (2013) C, pp. 254-266

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century, rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …

Persistent link: https://www.econbiz.de/10011065944

The effect of a change in pricing regime on iron ore prices

Wårell, Linda - In: Resources Policy 41 (2014) C, pp. 16-22

This paper performs a quantitative analysis of iron ore prices. The analysis will focus on two general issues. First, are prices more volatile before or after the introduction of spot market pricing in 2008/2009? Second, has the change in pricing regime had a significant effect on the iron ore...

Persistent link: https://www.econbiz.de/10011066011

A hyperbolic diffusion model for stock prices (*)

Bibby, Bo Martin; SÛrensen, Michael - In: Finance and Stochastics 1 (1996) 1, pp. 25-41

with drift zero and with a diffusion coefficient (volatility) which depends in a particular way on the instantaneous stock …

Persistent link: https://www.econbiz.de/10005390700