Search Results - subject:"Conditional Variance"

Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

Persistent link: https://www.econbiz.de/10005797706

Inflation and Inflation Uncertainty in India, 1957 - 2005

Thornton, John - In: Indian Economic Review 41 (2006) July, pp. 1-8

This note, employing a GARCH model, finds a positive and significant relationship between the level and variability of monthly inflation in India in the period 1957-2005, with causation running from inflation to uncertainty about future inflation, as hypothesized by Friedman. To the extent that...

Persistent link: https://www.econbiz.de/10005824040

The Relation Between Inflation and Inflation Uncertainty In Iran

Entezarkheir, Mahdiyeh - In: Iranian Economic Review 10 (2006) 3, pp. 1-20

Decreasing inflation uncertainty, as the major source of welfare costs, requires finding the driving factors of this variable. Counting inflation as one of the driving factors of inflation uncertainty has created some concern due to the ambiguity over the causality between inflation and...

Persistent link: https://www.econbiz.de/10010839229

The Relation Between Inflation and Inflation Uncertainty In Iran

Entezarkheir, Mahdiyeh - In: Iranian Economic Review 11 (2006) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10010695777

Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe

Pace, Pierangelo De - EconWPA - 2005

I use numerical methods to test for the presence of one-time structural breaks in the conditional variance of nominal …

Persistent link: https://www.econbiz.de/10005407994

Modelling International Tourism Demand and Volatility in Small Island Tourism Economies

Shareef, Riaz; McAleer, Michael - School of Business, Edith Cowan University - 2005

to SITEs, particularly the conditional variance (or volatility) in international tourist arrivals, have not previously … arrivals is essential for policy analysis and marketing purposes. This paper models the conditional mean and conditional … variance of the logarithm of monthly international tourist arrivals and the growth rate (or log-difference) in the monthly …

Persistent link: https://www.econbiz.de/10009642878

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

This article uses models with changes in regime and conditional variance to show the presence of co-movement between …, using univariate conditional variance and changes in regime models. We show that the volatilities of the two indexes have …

Persistent link: https://www.econbiz.de/10005556399

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...

Persistent link: https://www.econbiz.de/10005119158

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...

Persistent link: https://www.econbiz.de/10005124892

DELINEATING EFFICIENT PORTFOLIOS AND FORECASTING THE CONDITIONAL VARIANCE: THE CASE OF THE BUCHAREST STOCK EXCHANGE

Darasteanu, Catalin Cristian - In: Journal for Economic Forecasting (2003) 3, pp. 49-71

of the constructed portfolios. In the latter section of this part, we will forecast the conditional variance of the …

Persistent link: https://www.econbiz.de/10005612220