We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the...

The Central Bank of the Republic of Turkey has started to implement its new policy mix since late 2010. In this new approach expectations, credit growth and reel exchange rate are monitored closely as key indicators for financial stability on top of price stability. The effect of this new...

This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...

We propose a model to estimate the price volatility in of the Mexican Export Crude Oil Blend. The analysis relies on the conditional standard deviations obtained from a GARCH model. Data includes diary oil prices between January 2nd, 1998 and February 14th, 2007. The chosen model is of the GARCH...

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of...

This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the daily closing stock market indices of Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, and Taiwan to compute for time-varying weights associated with the...

The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong evidence of transmission of volatilities across prices....

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry comparison. We present a methodology for the evaluation of country risk that include endogenous detection of multiple structural breaks (also identifying its different kinds),...

This is an empirically study to investigate the exchange rate volatility and it impacts on bilateral exports growth: evidence from Bangladesh. The countries are considered to determine based on the bilateral relationship between Bangladesh and the other countries under a range of regional...

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and...