This study explores the volatility models and evaluates the quality of one-step ahead forecasts of volatility constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH performs relatively best in term of MSPE, followed by...

This study attempts to introduce an appropri¬¬ate model for modeling and forecasting Iran’s crude oil price volatility. Therefore, this hypothesis will be tested about whether long memory feature matters in forecasting the price of this commodity. For this purpose, using the Iran’s weekly...

Since the global financial crisis, Central Banks have used various policy tools to sustain financial stability besides price stability. Additional Monetary Tightening is one of these tools that the Central Bank of the Republic of Turkey used in 2011-2012. The effects of this tool on the exchange...

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

We carry out a non parametric analysis of financial durations. We make use of an existing algorithm to describe non parametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm...

This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...

Since the seminal work by Engle (1982), the autoregressive conditional heteroscedasticity (ARCH) model has been an important tool for estimating the time-varying volatility as a measure of risk. Numerous extensions of this model have been put forward in the literature. The current paper offers...

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging markets, namely India, Hungary, Poland, Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly returns of stock market indices from 2005 to 2011, the...