and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

determinants of the relative volatility of inflation vis-à-vis real depreciation. This analysis contributes in the identification … show this ingredient can end up altering the perceived relative volatility of peso and dollar assets in a way that fuels …

The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for …

methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We …