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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

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

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

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

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

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

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

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

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

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