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Volatility

Volatility is an open source memory forensics framework for incident response and malware analysis. It is written in Python and supports Microsoft… Expand
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Highly Cited
2001
Highly Cited
2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily… Expand
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Highly Cited
2001
Highly Cited
2001
Abstract We examine “realized” daily equity return volatilities and correlations obtained from high-frequency intraday… Expand
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Highly Cited
2001
Highly Cited
2001
We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and… Expand
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Highly Cited
2000
Highly Cited
2000
1. The Black-Scholes theory of derivative pricing 2. Introduction to stochastic volatility models 3. Scales in mean-reverting… Expand
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Highly Cited
2000
Highly Cited
2000
This paper investigates whether a firm's disclosure practices affect the composition of its institutional investor ownership and… Expand
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Highly Cited
1997
Highly Cited
1997
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We… Expand
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Highly Cited
1997
Highly Cited
1997
Abstract The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a… Expand
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Highly Cited
1996
Highly Cited
1996
Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to… Expand
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Highly Cited
1995
Highly Cited
1995
Returns in emerging capital markets are very different from returns in developed markets. While most previous research has… Expand
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Highly Cited
1987
Highly Cited
1987
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market… Expand
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