Purpose – This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market....

Purpose: This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market....

The volatility spillover tells about the extent of the integration between different markets. In this study an effort has been made to analyse the integration and interrelationship among the capital market, currency market and commodity market in India through the volatility spillover frame work...

Resumen:Reflejan los mercados accionarios los fundamentales macroeconómicos de un país?. La hipótesis de eficiencia semifuerte (Fama 1970) implica que los mercados accionarios deben reaccionar inmediatamente, y sin sobre ni subreacción predecible, a las sorpresas en los anuncios...

This article follows the main contributions brought to the nonlinear modeling literature. We investigate and review a series of parametric initiatives, focusing on the evolution of TAR and ARCH – GARCH model families in econometric and forecasting applications.