Taiwan, and their associated volatility. Inclusion of the exchange rate and its volatility captures approximate daily and … weekly price and price volatility effects on world, US and Japanese tourist arrivals to Taiwan. The Heterogeneous … of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …

This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward … direct investment (ODI), inward direct investment (IDI), and exports. The number of Triadic patents serves as a proxy for … innovation. The data set contains 37 countries that are considered to be highly competitive in the world market, covering the …

economic growth, every country has sensibly invested in international cooperation, learning, innovation, technology diffusion … is necessary to increase expenditure on R&D for business enterprises and higher education, exports and technology. If the …

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite … index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most … popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence is a key barometer of …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical … results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …