Search Results - subject:"Conditional Volatility"

Conditional volatility exposures in asset pricing in the downside and classical framework

Markowski, Lesław - In: Research in economics and business : Central and … 7 (2015) 1, pp. 5-22

Persistent link: https://www.econbiz.de/10011656019

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

Persistent link: https://www.econbiz.de/10010298390

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

Liu, Jingyi - School of Economics, University of Edinburgh - 2008

monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in …

Persistent link: https://www.econbiz.de/10005369094

Modelling sustainable international tourism demand to the Brazilian Amazon

McAleer, Michael; Divino, Divino, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 2008

annual data, estimates alternative time series models and conditional volatility models of the shocks to international …

Persistent link: https://www.econbiz.de/10010732604

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

Persistent link: https://www.econbiz.de/10010986398

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008

Persistent link: https://www.econbiz.de/10010986460

Asymmetric Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008

Keywords: Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect 1 Introduction Dynamic …

Persistent link: https://www.econbiz.de/10005007626

Modelling sustainable international tourism demand to the Brazilian Amazon

Divino, J. A.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2008

annual data, estimates alternative time series models and conditional volatility models of the shocks to international … time series models and conditional volatility models of the shocks to international tourist arrivals, and provides …, and the aggregate of the two states. 4. Conditional Mean and Conditional Volatility Models The alternative time …

Persistent link: https://www.econbiz.de/10005056589

Do External Political Pressures Affect the Renminbi Exchange Rate?

Liu, Li-gang; Pauwels, Laurent; Chan, Jun-yu - Hong Kong Monetary Authority - 2008

statistically significant effect on both the daily returns and the conditional volatility of the RMB central parity rate. We … especially those from US sources, have a statistically significant impact on the conditional volatility of the RMB exchange rate …

Persistent link: https://www.econbiz.de/10005736311