Showing 1 - 10 of 42
market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008794422
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … horizons. These models are based on different and sometimes competing theoretical concepts. They belong either to GARCH or …
Persistent link: https://www.econbiz.de/10010738497
This paper o¤ers to investigate both the Friedman's and Mishkin's hypotheses on the consequences of inflation on output growth. To this end, we first base these hypotheses in a unified framework. Second, in an empirical work based on OECD countries, we distinguish between short-medium and long...
Persistent link: https://www.econbiz.de/10010738523
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a … nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel …
Persistent link: https://www.econbiz.de/10010898810
: the Logistic Smooth Transition GARCH model and the Markov-Switching GARCH models. Thanks to simulation experiments, we …
Persistent link: https://www.econbiz.de/10010933939
In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models …
Persistent link: https://www.econbiz.de/10010750905
This paper aims to provide a unified theoretical framework of the two hypotheses proposed by Friedman: (i). increased variability of money supply results in the decline of income velocity of money and (ii) high inflation leads high variability of inflation which reduces potential output growth....
Persistent link: https://www.econbiz.de/10009643784
volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … modified ICSS test developed by Sansó et al. (2004) and then incorporate this information into the volatility modeling. Our … results indicated that the degree of persistence of volatility is reduced by incorporating the variance changes into the …
Persistent link: https://www.econbiz.de/10010558719
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a … nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel …
Persistent link: https://www.econbiz.de/10010570529
This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is...
Persistent link: https://www.econbiz.de/10009399186