appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be … volatility and persistence. The evidence shows that such measures far outperform those based on either volatility or persistence …

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By … using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The … the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications …