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 … standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to …

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

volume, volatility, order flow, and order type) when the limit hit becomes imminent. Specifically, investors place …

the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day … effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …

have helped to mitigate the spillover effects of such increased volatility into the real economy. The track record of …

volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and … the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the … returns and the volatility can be accurately described by the exponential distributions [11]. We then propose a stochastic …

Purpose – The purpose of this paper is to investigate the short-run return and volatility spill-overs across three … explore the return and volatility relationships. Findings – The return and volatility spill-overs between the two developed … significant uni-directional volatility spill-over from the LME to the SHFE are documented. Research limitations/implications – The …