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 …

mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …

agent-based model in which the ubiquitous stylized facts (fat tails, volatility clustering) are emergent properties of the …

popular affine stochastic volatility models, e.g. the Barndorff-Nielsen & Shephard model and the Heston model. Furthermore … they allow for models which exhibit jumps in the return process as well as in the volatility component. For both hedging … stochastic volatility models. …

Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns …

performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … deteriorates moderately, indicating the likely existence of additional random factors such as stochastic volatility. …

the other hand,stochastic volatility is both broadly accepted as a part of return time series and largelyignored by the … existing econometric literature on the predictability of returns. Thesevere e ffect that stochastic volatility can have on … heterogeneity.If the return time series is, instead, read according to a clock based onregular intervals of volatility, then returns …

time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously … achieving these two goals under affine models. To this end, I incorporate a liquidity demand theory via a measure of the …