Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...

The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR-RV-CJ models are found to be the best among high...

We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gençay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit...

In this paper, we investigate whether or not the inflation rate of 17 Sub-Saharan African countries can be modelled as a stationary process. We achieve this goal through using univariate and panel stationarity tests for data over the period 1966 to 2002. We use the Kwiatkowski, Phillips, Schmidt...

This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and...

This paper examines whether or not unleaded petrol prices (at Australia's 18 wholesale distribution terminals) respond asymmetrically to changes in the exchange rate and the Singapore petrol prices (known as MOPS95). It is found that the exchange rate is the most significant source of asymmetric...

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets....

This study applies the bootstrap panel Granger causality test to identify whether globalization promotes insurance activity using data from Sigma reports of the Swiss Reinsurance Company of 8 Eastern Asian countries over the period of 1979–2008. Empirically, results for one-way Granger...

We report that the X-12 ARIMA and TRAMO–SEATS seasonal adjustment methods consistently underestimate the variability of the differenced seasonally adjusted series. We show that underestimation is due to a non-zero estimation error in estimating the seasonal component at each time period, which...

The paper offers an analysis of current account dynamics and its sustainability in Turkey using quarterly data. The focus is on the nonlinear characterization of the long run intertemporal budget constraint and the stationarity tests. Several well-known tests are applied to identify nonlinearity...