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INEQUALITY AND OIL SUBSIDY IN INDONESIA
Situngkir, Hokky - EconWPA - 2004
This paper is intended to give some alternative positive suggestion on how to cope with the must of the cutting off the oil subsidy domestically. The problem that faced by the government is that the compensation fund will hardly enjoyed by the poor, and moreover it is hard to watch out the whole...
Persistent link: https://www.econbiz.de/10005412627
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The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications
Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2005
stochastic volatility (STARTZ-SV) or as Student-t with GARCH volatility (STARTZ-TGARCH). Using the dynamics of Norwegian krone … zone model. Our estimates of conditional volatility and marginal distribution reject the target zone hypothesis. …
Persistent link: https://www.econbiz.de/10005119119
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The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend
Radchenko, Stanislav - EconWPA - 2005
This paper constructs long-term forecasts of energy prices using a reduced form model of shifting trend developed by Pindyck (1999). A Gibbs sampling algorithm is developed to estimate models with a shifting trend line which are used to construct 10-period-ahead and 15-period ahead forecasts. An...
Persistent link: https://www.econbiz.de/10005119203
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Introducing a scale of market shocks
Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004
importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …
Persistent link: https://www.econbiz.de/10005076995
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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
SULEIMANN, Ryan - EconWPA - 2003
financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …
Persistent link: https://www.econbiz.de/10005124892
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A Self-Consistent Model for the Forward Price Dynamics
Makhankov, Vlad - EconWPA - 2003
applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …
Persistent link: https://www.econbiz.de/10005124894
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Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe
Habib, Maurizio Michael - EconWPA - 2002
affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …
Persistent link: https://www.econbiz.de/10005125528
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Volatility, Heterogeneous Agents and Chaos
Gomes, Orlando - EconWPA - 2004
exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …
Persistent link: https://www.econbiz.de/10005125624
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What determines macroeconomic volatility? A cross-section and panel data study
Spiliopoulos, Leonidas - EconWPA - 2005
This paper examines the determinants of the volatility in growth rates, seeking to expand on a very limited literature … which has focused almost exclusively on financial determinants of volatility. An analysis of 41 variables and their effects … on growth volatility yields some surprising results: the relationship between financial sophistication and volatility is …
Persistent link: https://www.econbiz.de/10005126343
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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...
Persistent link: https://www.econbiz.de/10005134650