investment and a relationship between trade and exchange rate volatility that depend on the sign of bilateral trade balances …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …