We consider a multidimensional Itô process Y=(Yt)t∈[0,T] with some unknown drift coefficient process bt and volatility … change point problem for the parameter θ in the volatility component. The change is supposed to occur at some point t∗∈(0,T …

the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n …

” reduces the total trading volume and price volatility, and improves the trend chasers’ welfare when trend-chasing is strong …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century, rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …

with drift zero and with a diffusion coefficient (volatility) which depends in a particular way on the instantaneous stock …

We present a methodology based on Fourier series analysis to compute time series volatility when the data are …

undesirable feature of predicting that the asymptotic value of the short rate volatility is zero. This theoretical result is … reverting Gaussian option values. In other words, the volatility in the rational lognormal model declines so quickly that …

employment volatility levels across Canadian regions during the period 1976-1997. Using cross-sectional analysis, we indicate … associated with decreased volatility in larger regions, but these variables have the opposite effect for smaller regions. The … decreased. The former tends to dampen volatility and the latter tends to magnify it. When these offsetting effects are taken …