In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the … volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As …

This paper assesses exchange rate development and volatility in six new EU member states (Cyprus, Czech Republic … return and the exchange rate volatility is analyzed using moving average standard deviations of the annualized daily returns …, SKK) entered into the mechanism at the optimal time of stable exchange rate development and low volatility. On the other …

this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European … markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output … consists in the thesis that “volatility matters” for an extended financial crisis explanation. …

-of-sample forecasting. We find that the random walk performs better than the restricted model. …

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … fractional integration order and determination of the adjusted volatility which best characterizes the economy. This methodology … the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the …

We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional … simplified proof. Motivated by the robustness of the smile effect to specific modelling of the unobserved volatility process, we … introduce a methodology that does not depend on a particular stochastic volatility model. We start with the Black …

affected by ‘volatility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility contagion …

This study investigates the impact of new information on the volatility of exchange rates. The impact of scheduled US … and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and …

Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic …