This study investigates the impacts of the degree of currency substitution on nominal exchange rate volatility in seven countries (Indonesia, the Philippines, the Czech Republic, Hungary, Poland, Argentina, and Peru). We use the Threshold ARCH model to consider the ratchet effect of currency...

This study investigates the impacts of the degree of currency substitution on nominal exchange rate volatility in seven countries (Indonesia, the Philippines, the Czech Republic, Hungary, Poland, Argentina, and Peru). We use the Threshold ARCH model to consider the ratchet effect of currency...

This paper empirically investigates whether there is an evolution in the relation between stock market trading volume and volatility in 23 developed and 15 emerging markets. To answer this question, we develop a dynamic application of the TARCH (1, 1) model and first prove that the relationship...

This study investigates the impact of six major USDA reports in hog and cattle markets: Cattle; Cattle on Feed; Cold Storage; Hogs and Pigs; Livestock, Dairy, and Poultry Outlook (LDPO); and World Agricultural Supply and Demand Estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure...