estimates of volatility, we present an application dealing with Value-at-Risk (VaR) prediction at different sampling frequencies … factor in the portfolio volatility equation from the estimated vector IMA(1,1) model of squared returns. Empirical results …

volatility in real per capita GDP growth. It incorporates 97 countries and 2404 observations. It also employs a system GMM … that regional free trade agreements will not increase volatility in most cases, and may actually lower it. In only one out … of the seven agreements explored is volatility larger after the implementation of the agreement. Furthermore, the role …

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to … that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility … persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility …

/methodology/approach – The paper reports on the authors' work on a Supply Chain Volatility Index and shows how current supply chain practices may … presents guidelines on how to manage supply chains in the age of turbulence: by embracing volatility as an opportunity rather …

Purpose The purpose of this paper is to provide an update to the Supply Chain Volatility Index (SCVI), and expand on … prior work by presenting a conceptual framework illustrating how firms can deal with persistent volatility, the ensuing risk … to scholars and practitioners. Findings Volatility has reduced from record levels experienced during the global financial …

asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation …