return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

policy shock, and that there is no delay in the overshooting of the U.S. Dollar. Furthermore, there is no persistent …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland's (2001, 2004) hybrid estimation approach to allow for a …

evidence and economic theory, the substantive results of earlier oil market studies are reaffirmed. We also refute BH’s claim …

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …