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Inference in misspecified GARCH-M models
Smallwood, Aaron D. - In: Oxford bulletin of economics and statistics 84 (2022) 2, pp. 334-355
Persistent link: https://www.econbiz.de/10013188544
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The Great Moderation and Leptokurtosis after GARCH Adjustment
Fang, Wen-Shwo - 2010
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting for outliers, autocorrelation, and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis...
Persistent link: https://www.econbiz.de/10012757983
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Common volatility trends in the central and eastern European currencies and the Euro
Pramor, Marcus; Tamirisa, Natalia T. - In: Emerging markets : any lessons for Southeastern Europe? …, (pp. 408-436). 2007
Persistent link: https://www.econbiz.de/10003547596
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Modelling CDS volatility at different tenures: an application for Latin-American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - 2022
Persistent link: https://www.econbiz.de/10013327085
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Inflation Targeting in Latin America : Empirical Analysis Using GARCH Models
Broto, Carmen - 2008
, inflation volatility and volatility persistence. To describe inflation dynamics and evaluate its impact, we use an unobserved … show that the adoption of IT has been useful to reduce the inflation level and volatility in these countries …
Persistent link: https://www.econbiz.de/10014212316
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Essays on the Latin American foreign exchange market
Ruiz, Isabel - 2006
Persistent link: https://www.econbiz.de/10009242592
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Nonlinearities and GARCH inadequacy for modeling stock market returns : empirical evidence from Latina America
Bonilla, Claudio A.; Romero-Meza, Rafael; Maquieira … - In: Macroeconomic dynamics 15 (2011) 5, pp. 713-724
Persistent link: https://www.econbiz.de/10009505801
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Assessing the intensity of US-Latin American market comovements and contagion effects in times of crisis
Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 130-147
Persistent link: https://www.econbiz.de/10010338339
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The effectiveness of forex interventions in four Latin American countries
Broto, Carmen - In: Emerging markets review 17 (2013), pp. 224-240
Persistent link: https://www.econbiz.de/10010243079
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Risks of Latin America sovereign debts before and after the financial crisis
Wang, Alan T.; Yao, Chengxue - In: Applied economics 46 (2014) 13/15, pp. 1665-1676
Persistent link: https://www.econbiz.de/10010412883