Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For … the longrun relationship we use the Engle Granger two-step procedure and the volatility spillover is modelled through the … bivariate EGARCH method. The estimated results from cointegration analysis show that there is no long-run relationship between …

We search for evidence of conditional volatility in the quarterly real GDP growth rates of three East Asian tigers … : Singapore, Hong Kong and Taiwan. The widely accepted exponential GARCH-type model is used to capture the existence of asymmetric … volatility and the potential structural break points in the volatility. We find evidence of asymmetry and persistence in the …

, intervention and other quantitative measures, and of Central Bank communication on exchange rate volatility. Since India has a … estimated family of GARCH models, we find forex market intervention to be the most effective of all the CB instruments evaluated …

--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model …. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

volatility of the real exchange rate. In addition, the sensitivity analysis shows that our model can rationalize more than 97% of … both persistence and volatility of the real exchange rate. Our analysis suggests that the purchasing price parity puzzle …

taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …