factors determinatives, the persistence of shocks and asymmetry in the volatility, by means of the application of ARCH …/GARCH models. The empirical results had shown persistence reactions and asymmetry in the volatility, that is, the negative and … aims to analyze the volatility process of the return the prices of beef cattle in the State of São Paulo; examining two …

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed … nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility … impact on stock volatility following a declining market and ambiguous impact on the stock volatility following a rising …

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 …

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 …

work is the issue of existence and uniqueness of equilibrium. We resolve this question in the affirmative, assuming the …