into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

stylized model that imposes UIP and allows the daily spot exchange rate to possess very persistent volatility. The model is …

). Šiame darbe bus surastos analitinės FIGARCH proceso antros eilės logaritminės tikėtinumo funkcijos išvestinės. Ilgo … įvertinti GARCH (CGARCH(1), CGARCH(2)) ir FIGARCH(1,d,1)) modeliais maksimalaus tikėtinumo metodu. Taip pat bus sukurtas NASDAQ … analytic expressions for the second-order derivatives of the log-likelihood function of FIGARCH processes. Long …

models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the … student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility. …The study explores a long memory conditional volatility model on international grain markets, demonstrating importance …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …

standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …