volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …

Regulators in Belgium, France, Italy and Spain issued a short sales ban on financial stocks to contain volatility in …-in-differences-in-differences methodologies to measure differences in volatility, our results suggest that the ban was ineffective in containing volatility. …

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …

this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …

volatility at Bucharest Stock Exchange, by analyzing the return and volatility of the BETindex portfolio. In order to assess this …,whereas volatility is asymmetric. Actually, one may witness a relation between return andrisk, as well as a non-asymmetric response of … volatility to shocks during economic growth,and no risk-return relationship and asymmetric volatility during economic recession …

research, among others Stock and Watson (2002, 2005), document on the other hand a fall in the aggregate volatility of macro … and real wages (plus real GDP and employment) for a number of countries and find a decline in the aggregate volatility … of aggregate volatility it predicts for welfare and laissez-faire economies under different degrees of turbulence. We …

volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are … modeling of the underlying asset price-move so as to value an option, we realize that its volatility is captured by the time to … maturity. Moreover, the value of an option increases both as the volatility and time to maturity increase. These observations …