Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Volatility"
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Article
How different are Monetary Unions to national economies according to prices?
(Wiley, 2022-09)Not that different. Based on a unique dataset of semi-annual microeconomic price levels of goods and services across and within countries for 1990:1–2018:2, we show that time-series volatility and cross-sectional dispersion ...
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On modelling speculative prices: the empirical literature
(2001)Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in ...
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Article
Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results
(2002)We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. ...