these commodities. VAR estimation reveals short-run cross-market interaction between NR and GA, and from NR to PA. Cross …-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our … findings are robust to lag-specification, volatility measure, and consistent with full BEKK-GARCH estimation results. Further …

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 …

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 …

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. …

the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q …

Stochastic Volatility (SV) models play an integral role in modeling time varyingvolatility, with widespread application … at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is …

This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …

Extracting the principles associated with complexity theory and swarm intelligence has offered practical solutions for … symmetry, the techniques to reduce volatility in the healthcare business must address information asymmetry. In both cases …