This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH...

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...

Although volatility clustering has a long history as a salient empirical regularity characterizing high frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time varying second order moments....

The short-term rate of interest is fundamental to much of theoretical and empirical finance, yet no consensus has emerged on the dynamics of its volatility. We show that models which parameterize volatility only as a function of interest rate levels tend to over emphasize the sensitivity of...

Most research on hedging has disregarded both the long-run cointegrating relationship between financial assets and the dynamic nature of the distributions of the assets. This study argues that neglecting these affects the hedging performance of the existing models and proposes an alternative...

We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of cointegration between spot and forward (futures) prices depends on the time-series properties of the cost-of-carry. We argue that the conditions for cointegration are more likely to hold in currency markets...

Commodity prices have historically been among the most volatile of international prices. Measured volatility (the standard deviation of price changes) has not been below 15 percent and at times has been more than 50 percent. Often the volatility of commodity prices has exceeded that of exchange...