Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data …

fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

discrimination, however, such equilibria can arise solely from the influence of asset price volatility on participants strategically … correlated with the degree of price volatility exhibited by the otherwise similar assets being financed by members of each of …

In this paper, I use the Busse (1999) volatility timing model and the cubic model in Holmes and Faff (2004) to examine … the volatility timing ability reflected in the hedge fund indices from four major emerging market regions. The performance … hedge funds operate. I find little evidence of volatility timing in the stock markets for these hedge fund indices …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market …