Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes

Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes

A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index

Study of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange mark...

Forecasting Volatility with the Multifractal Random Walk Model

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply the...

Large Favourite Sites of Simple Random Walk and the Wiener Process Large Favourite Sites of Simple Random Walk and the Wiener Process

Let U (n) denote the most visited point by a simple symmetric random walk fS k g k0 in the rst n steps. It is known that U (n) and max 0kn S k satisfy the same law of the iterated logarithm, but have diierent upper functions (in the sense of P. L evy). The distance between them however turns out to be transient. In this paper, we establish the exact rate of escape of this distance. The correspo...

Extremes of Random Volatility Models