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I use numerical methods to test for the presence of one-time structural breaks in the conditional variance of nominal interest rate spreads in four European countries over a period of eleven years (Jan 1988 to Dec 1998). I start with an intuitive approach consisting of a sequence of breakpoint...
Persistent link: https://www.econbiz.de/10005407994
, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …
Persistent link: https://www.econbiz.de/10005556399
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
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
applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as …
Persistent link: https://www.econbiz.de/10011755354