is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … model to two series of FX daily returns on DEM/USD and GBP/USD. …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a … option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity … prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for … returns in the period 1960-79. Within two subsamples obtained from the period 1980-97 the evidence in favour of such effects …