heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly …

equations is a sufficiently manageable matter for some types of multivariate ARCH error structures. Reparameterization makes it …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the … money markets from Euro zone, Bulgaria, Czech Republic, Hungary, Poland and Romania and propose some volatility transmission …

Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are …-of-sample forecasting performance of 68 ARCH-type models using inter-daily data on the peso-dollar exchange rate, this study shows that it … volatility. The forecasts are compared to the Parkinson Range, an alternative to the Realized Volatility. …