We study the spillover effects of the US macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contractionary from the US raises the conditional mean, and most news elicits the associated volatility in the Australian stock markets. While...

We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures...

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009 - 09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...

This paper empirically analyzes the determinants of foreign direct investment for Sub-Saharan African countries and other some developing countries. Our results suggest that both productivity-related policy and exchange rate policy can be effective in sharpening FDI competitiveness, i.e., in...