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 …

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

USA, which yielded a bigger volatility, with positive sign, in the Portuguese, and in the English Stock Exchanges. …

stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …

are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …

We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market … passing of time appreciated in real terms. The fact that PPP theory was applied to two southern European countries deserves a …