, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price fluctuations – volatility – to two … Lévy scaling relationship between QΔt and NΔt, which would provide one explanation for volume-volatility co-movement. A …

volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of …

Realized stock return volatility is modelled with a distribution based on the Laplace distribution. The moment … properties of suggested volatility distribution, η(σ|λ), are derived. The properties of distribution correspond to the empirical … estimating λ from returns distribution f(x|λ) directly instead of volatility distribution based on bias sensitive standard …

moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and …

rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied …, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not …

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

of RiskMetrics is the artifact of the choice of the risk measure. First, the outstanding performance of volatility … performance in obtaining Value-at-Risk by simply multiplying volatility with a constant factor is mainly due to the choice of the …