resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …

and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …

case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …

in Bangladesh to out-migrate during the lean season, and document a set of striking facts. The incentive induces 22% of …