volatility. …

) increases volatility. (ii) In contrast, in markets with market makers we observe a decrease in volatility in unilaterally taxed … markets. (iii) An encompassing Tobin tax has no impact on volatility in either setting. Efficiency does not vary significantly …

, effectively lowering its volatility. We also show that relatively small increases in the average holdings of reserves by Latin … substantially REER volatility. …

) Model to find out the relationships between the volatility of rubber futures returns in the Agricultural Futures Exchange of … Thailand (AFET) and other four main markets, namely, the volatility of rubber futures returns in the Singapore Commodity … Exchange (SICOM), the volatility of rubber futures returns, crude oil returns, and gas oil returns in the Tokyo Commodity …

are interdependent. Also, a single reduced-form equation is derived from the SUR model to analyze the volatility of the …. The Breusch–Pagan test of independence was rejected. A key finding from the volatility analysis suggests that bank profit … rates are inversely related to the volatility of the banks' capitalization ratios as measured by their variances. …

The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper … support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR …-RV-CJ models are found to be the best among high frequency based volatility forecasting models. Moreover, MIDAS model performs …

electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the … activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are …

Returns of risky assets are often modelled as the product of a volatility function and standard Gaussian white noise … two approaches. In particular, modelling the volatility as a piecewise constant function can be interpreted either as … segmentation based on the simple model of constant volatility, or as an approximation to the observed volatility by a simple …

modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial … study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical … Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book …