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-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …
Persistent link: https://www.econbiz.de/10009475524
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …
Persistent link: https://www.econbiz.de/10009446192
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …
Persistent link: https://www.econbiz.de/10009476145
subsectors, at least not given the used identification strategy. This could be due to the fact that this theory regards the …
Persistent link: https://www.econbiz.de/10009433722
standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …
Persistent link: https://www.econbiz.de/10009467122
mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …
Persistent link: https://www.econbiz.de/10009450956
recently proposed Dynamic Conditional Correlations (DCC) class of GARCH models, I estimate the covariance of the fundamental …
Persistent link: https://www.econbiz.de/10009429055