volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to … manner that depends crucially on the variancecovariance properties of investment returns, rather than on their average only. …

city. Understanding the dynamics of the market is essential to guide government policy making and investment decisions … reveal the possibility of balancing investment portfolios between the three sectors in the Hong Kong property market. However …, exposure to the residential sector may reduce the chance of investment diversification because of the higher correlation of …

cyclical component is a two-state variable captures previously undocumented changes in the volatility of real housing price … increases. These volatility phases are quite persistent (about six years,on average) and occur with about the same unconditional …

, during the tenure of Chairman Greenspan the volatility and risk in the money market fell. The policy regime changes of … also resulted in a reduction in volatility in the money markets. …

particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate … a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample … require log-normality of the PDF nor that volatility remains constant. …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

co-variances. The principal explanation for the decline in GDP volatility is a fall in the sum of sector variances driven … dominant influence on the profile of GDP volatility and this influence has not diminished. Despite marked changes in sector … been a significant factor influencing the decline in GDP volatility. We postulate that policy interventions such as “Think …

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative … volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility … stems from investment performance (Nathakumaran & Newell (1995), Brown & Matysiak 2000, Booth & Matysiak 2001). Historic …

In this paper, the authors study the possibility of controlling asset price volatility through financial innovation in …