This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to...

Este trabajo es parte de un seminario realizado en el segundo semestre de 1972, sobre las experiencias de diversas empresas chilenas de participación, con el objetivo de confrontar con la realidad los estudios hechos en un curso anterior a nivel teórico sobre el sistema de autogestión. Como...

There is still no consensus on whether small firm or value stock anomalies exist. We examine the last half of the 20th century and apply a six-factor macroeconomic model to test for the presence of these abnormal returns. Using four proxies for value, we find that detecting this anomaly is...

This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects from a series of foreign exchange rate returns to CME Group commodities in the grains, livestock, and energy complexes. Exchange rates are purported to have supply and demand effects on commodity...

Over the period from 1981 through 1999, we investigate the relationship between bankcard delinquencies and key macroeconomic variables. Changes in the proportion of accounts in default are statistically related to the consumer debt ratio. When the delinquency rate is calculated based on the...