The paper forecasts conditional correlations between three classes of international financial assets, namely stock, bond and foreign exchange. Two countries are considered, namely Australia and New Zealand. Forecasting will be conducted using three multivariate GARCH models, namely the CCC model...

Purpose The purpose of this study is to examine the role of independent institution as moderation between community involvement and legislative institution responsiveness in Mataram City. Design/methodology/approach This research is explanatory research, which explains the effect between...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

This study analyses the patent trends and volatilities for the top 12 foreign patenting countries in the US market from 1975 to 1997. Japan is ranked first in terms of foreign patents registered in the USA, followed by Germany. Patent registrations from each of these countries have increased...

The t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This paper provides some experimental evidence on the finite sample properties of the t-test in models...

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...