The paper examines the short-run spillover effects of daily stock returns and volatilities between the Samp;P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified GARCH...

This article examines the hedging performance of the conventional OLS model and a variety of dynamic hedging models for the in-sample and out-of-sample periods of Korean daily KOSDAQ STAR (KOSTAR) index futures. We employ the rolling OLS and various popular multivariate GARCH models to estimate...

We extend Diebold and Li's dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of state-space approach, and using nine different ratings of corporate bonds. We find that the dynamic Nelson-Siegel factor AR(1) model outperforms other competitors...

We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long-memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized...

This paper finds the close relationship between long memory and some forms of Markov-switching models. The simulation results suggest: (1) when the transition probabilities are closer to unity, it is more likely to generate long memory process; (2) magnitude of regime-switching plays an...

Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four...