This paper examines the relationship between inflation and inflation uncertainty for both developed and emerging countries. We find new evidence that suggests positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries

This paper proposes a mixed GARCH-Jump model that is tailored to the specific circumstances arising in emerging equity markets. Our model accommodates lagged currency returns as a local information variable in the autoregressive jump intensity function, incorporates jumps in the returns and...

In a seminal article, Samuelson (1965) [Samuelson, P. A. (1965), “Proof that properly anticipated prices fluctuate randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should increase as futures contract approaches maturity....

This paper investigates whether alternative return distributions such as Hansen's skewed t-distribution combined with similar GARCH specifications can outperform mixed GARCH-jump models. More specifically, this study questions if complicated jumps specification such as Maheu and McCurdy (2004)'s...

Recent studies have shown that stochastic volatility in a continuous-time framework provides an excellent fit for financial asset returns when combined with finite-activity Merton's type compound Poisson Jump-diffusion models. However, we demonstrate that stochastic volatility does not play a...