This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate...

This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate...

We investigate the stability of M3 income velocity in the euro area. We apply a set of breakpoint procedures to examine this issue and conclude that at least one structural change occurred around 2000-2001. We also ...nd evidence of another structural break around 1992-1993. These two breaks...

[fre] L'article porte sur la demande de monnaie -mesurée au moyen d'agrégats larges -dans les quatre grands pays de la zone euro (Allemagne, Espagne, France et Italie) sur la période 1979-1999. Il cherche à répondre, en priorité, aux deux questions suivantes. 1/ Peut-on mettre en...

This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USS?P 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models...

We examine the dependence between the volatility of the prices of the carbon dioxide "CO2" emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the Stochastic Autoregressive...