This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous … subsample estimates imply an increase over time in the degree of persistence of both series. …