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A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

Imperfect Information and Saving in a Small Open Economy

Roitman, Agustin - 2011

Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We show evidence suggesting that uncertainty about the underlying stochastic process...

Persistent link: https://www.econbiz.de/10014402067

Foreign exchange intervention rule for central banks : risk-based framework

Lafarguette, Romain; Veyrune, Romain - 2021

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

Persistent link: https://www.econbiz.de/10012518276

Price Volatility and Financial Instability

Leon, H. L. - 2001

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

Persistent link: https://www.econbiz.de/10014399985

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

Persistent link: https://www.econbiz.de/10014400143

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

Persistent link: https://www.econbiz.de/10014399716

Imperfect information and saving in a small open economy

Daude, Christian; Roitman, Agustin - 2011

Persistent link: https://www.econbiz.de/10009486211

Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Persistent link: https://www.econbiz.de/10014399563

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Kisinbay, Turgut - 2003

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …

Persistent link: https://www.econbiz.de/10014399678

Global Volatility and Forex Returns in East Asia

Kalra, Sanjay - 2008

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to 1⁄2 percent. This sensitivity rose …"" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger …

Persistent link: https://www.econbiz.de/10014401382