This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an …

returns with prediction models from the ARCH, stochastic volatility and Markov mixture families. In this example models that …

intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. JEL …

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …