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This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains...
Persistent link: https://www.econbiz.de/10012172980
In this paper we study the relationship between output and inflation for India, South Africa and Brazil, using the EGARCH model. For India and South Africa, we find evidence of: (1) the Cukierman and Meltzer hypothesis that inflation volatility raises inflation; (2) the Friedman hypothesis that...
Persistent link: https://www.econbiz.de/10010616907
In this article we examine several hypotheses relating to output and inflation dynamics in China. The hypotheses tests are based on the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model of Nelson [Nelson, D. (1991). Conditional heteroskedasticity in asset...
Persistent link: https://www.econbiz.de/10013105368
Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we...
Persistent link: https://www.econbiz.de/10013105382
In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various...
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