variance in stochastic volatility models, thus providing a model-free and consistent alternative to realized variance. Its … robustness property means that if we have a stochastic volatility plus infrequent jumps process, then the difference between …. (2004). 'Power and bipower variation with stochastic volatility and jumps', Journal of Financial Econometrics, 2(1), 1 …

understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An … important question thus arises: how to people obtain accurate volatility measures that can be used in market risk management …

Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT … REIT volatility.The paper examines the factors that influence REIT volatility, documenting the return and volatility … previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such asvalue stocks are …

long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model …

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 … participants, lock-in effect and risk diversification and also a comprehensive model with heterogeneous participants - investors …

gegenwärtigen Risikomaße ignorieren größtenteils das systematische Risiko, das durch Korrelationen von Finanzanlagen, Finanzmärkten … on assessing, modelling and forecasting risks during different financial times. The existing risk measures largely ignore … the systematic risk induced by correlations among financial assets, financial markets or financial agents and are …

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 …