swap rates. This paper compares the statistical properties of the time series of forward rates that are obtained using …

volatility of extremes. We formally determine the relevance of introducing trend and serial correlation in the mean, and of … incorporating the level and GARCH effects in the volatility of extreme changes in the federal funds rate. The empirical findings … indicate the existence of volatility clustering in the standard deviation of extremes, and a significantly positive …

, it finds evidence of wage restraint, as volatility significantly lowers the share of(production) wages in value added. …

The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

This paper addresses the question if there are differences between time patterns in the volatility of investment across … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility … determining investment volatility than the macroeconomic environment. …

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

This paper examines the effect of analysts' recommendations on stock return, volume and volatility. The study covers a …