Using detrended fluctuation analysis, we study the scaling properties of the volatility time series Vi=|Ti+1−Ti| of … daily temperatures Ti for 10 chosen sites around the globe. We find that the volatility is long-range power-law correlated …

. The volatility processes are examined based on the squared and the absolute values of the returns series, and the … stability of the parameters across time is also investigated in both the level and the volatility processes. A method that …

volatility signal, typical of the real market data. …

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

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

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 …

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

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

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 …