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 …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There … volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find … exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so …

.---------------------------------------------The analysis of volatility in the prices received by producers of coffee in the international market has demonstrated the … persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH … volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these …

Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios … volatility and increases in the equally weighted components of the realised VCM. The results have important implications for … portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume …

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …

volatility comparable to the Great Moderation of the 1980s-2000s. This moderation occurred despite a lack of central banks, low …