volatility. The existence of a Cramér function, the characteristic function for self-similarity, is confirmed by analyzing real …

working months). Volatility also scales, with long-run correlations being particularly important. …

volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With … conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this … model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is …

Since the '80s the volatility of output growth and inflation experienced by several industrialized countries has … volatility of inflation and output growth. …

We study international integration of markets for jump and volatility risk, using index option data for the main global … separately, we provide evidence that volatility and jump risk are priced risk factors. There is little evidence, however, of … jump and volatility risk internationally are substantial, but declining. …

Purpose – The purpose of this paper is to present a behavioral explanation of excess stock price volatility relative to … volatility can be expected to be greater than a simple present value model would imply. Originality/value – This paper is unique … volatility. …

volatility, reflecting a trade-off between prudence and the insurance value of default. We show that this feature also holds in …