approach, and we perform the cointegration and Granger causality analysis employing the methods of vector error correction …

this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European … markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output … consists in the thesis that “volatility matters” for an extended financial crisis explanation. …

that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That … concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This … GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the … cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …

is a model that will lead to better volatility forecasts. Secondly a long run relation between these markets was … investigated using the cointegration methodology. Cointegration tests show that DAX30, FTSE100, and SMI indexes move together in …

This is an empirically study to investigate the exchange rate volatility and it impacts on bilateral exports growth …, ASEAN, and Asia-Pacific regions. To establish the empirical relationship between exchange rate volatility and impact on … exports growth, cointegration and error correction techniques are used by considering the data from 2003 to 2008. From the …

This paper decomposes volatility proxies according to upward and downward price movements in high-frequency financial … data, and uses this decomposition for forecasting volatility. The paper introduces a simple Garch-type discrete time model … that incorporates such high-frequency based statistics into a forecast equation for daily volatility. Analysis of S&P 500 …