We construct a dynamic competitive model with futures markets where price volatility comes from information arrival and …? How do information arrival and noise trading interact to generate price volatility? What are the effects of futures … trading on volatility and welfare? Without noise trading, we show that a fully revealing equilibrium price is unlikely to …

on estimates of the: (i) volatility of returns; and (ii) variance–covariance matrix of n assets. We propose a Kalman … allows us to employ volatility estimators that achieve very low Root Mean Squared Errors (RMSEs) compared to other estimators …

Estimating the volatility from the underlying asset price history for the discrete observations case is a challenging … inference problem. Yet it has attracted much research interest due to the key role of volatility in many areas of finance. In … this paper we consider the Heston stochastic volatility model and propose an accurate analytic approximation for the …

macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …

macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …

price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility …

creates greater liquidity, but adds noise to prices, lowering the informativeness of prices and increasing return volatility …