Conditional volatility models, such as GARCH, have been used extensively in financial applications to capture … using symmetric volatility models). In general direct approaches to modelling the semi-variance are preferred to …

significant in volatility as opposed to expected returns. This paper seeks an explanation for this empirical finding by … volatility model, in which the conditional daily volatility is measured in calendar time from open-to-close of the market, and … over weekends and especially holidays is a predictor of subsequent daily volatility. The SV parameters are estimated by …

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese … dollar because the negative impacts of the revaluation, and its accompanying effects on the RER volatility, if any, on the …

is shown that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying … nonstationary volatility is present in the errors. Mild nonstationary volatilities do not render the underlying regression spurious …

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …