English Abstract: This study selected predictors for interest rate volatility and empirically analyzed the dynamic … relationship among selected variables using time series methods. In doing so, it considered realized volatility treasury bonds rate … bonds market volatility was the strongest predictive variable. The lagged volatility of treasury rate and won …

English Abstract: In this paper, we investigate if the weather affects the stock returns, the volatility of stock … volatility of stock returns is however affected …

volatility, while inflation resembles that from BK filtering. This implies that the usual practice of applying a single filtering …

English Abstract: This study has attempted to seek a volatility forecasting model that can reflect sufficiently the … long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland … capture the long memory property in the volatility of these markets than the GARCH and IGARCH models. More importantly, the …

as follows; First, there is a strong evidence that conditional mean and volatility spillovers between KOSDAQ50 index spot …

effects on volatility. Sequences are pairs of consecutive returns with the same sign and reversals pairs of consecutive … useful to analyze the effects on volatility of sequences and reversals. The empirical results show that General CHARMA is … more appropriate than GARCH in specifying volatility. Also, we obtain the results that pairs of consecutive returns with …