Search Results - subject:"Conditional variance"

The Relation Between Inflation and Inflation Uncertainty In Iran

Entezarkheir, Mahdiyeh - In: Iranian Economic Review 11 (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/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

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

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

Temporal aggregation, volatility components and volume in high frequency UK bond futures

McMillan, David; Speight, Alan - In: The European Journal of Finance 8 (2002) 1, pp. 70-92

This paper examines volatility in UK Long Gilt and Short Sterling futures over several intra-day frequencies. Initial GARCH model estimates are found to exhibit remaining residual structure and to be inconsistent with theoretical temporal aggregation results for all frequencies other than the...

Persistent link: https://www.econbiz.de/10005632838

Recent Estimates of the Time-Variation in the Conditional Variance and in the Exchange Risk Premium

Frankel, Jeffrey A. - Institute of Business and Economic Research (IBER), … - 1988

Persistent link: https://www.econbiz.de/10010677805

Fourth Moment Structure of a Family of First-Order Exponential GARCH Models

He, Changli; Teräsvirta, Timo; Malmsten, Hans - Economics Institute for Research (SIR), … - 1999

In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one. Conditions for the existence of any arbitrary moment...

Persistent link: https://www.econbiz.de/10005649460