, which includes secular changes in the economic structure and a substantial reduction of output volatility. We find two … robust structural breaks in volatility at the end of WWII and in the mid-eighties, showing that the GM still holds in the … longer perspective. Furthermore, we show that GM volatility reduction is only linked to expansion features. We also date the …

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

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 …

One of the impacts of higher prices along with greater volatility in futures and basis is thatthere is pressure for an … escalation in cash contracting for grain. This volatility has resulted inan unprecedented level of contracting with growers in … and the marketing system, particularly as buyers seek to usesuch contracting strategies as an element of risk mitigation …