dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different …

, driving forces of the real effective exchange rate are identified based on these methods for both countries. For estimation …

classical estimation methods. Finally, the empirical performance of model selection methods is investigated using the Akaike …

classical estimation methods. Finally, the empirical performance of the formal test is discussed along the lines of the Akaike …

important tool for estimating the time-varying volatility as a measure of risk. Numerous extensions of this model have been put … volatility model. Unlike previous papers that have dealt with asymmetry, this paper suggests to explicitly separate the positive … likelihood method. The suggested asymmetric volatility approach is applied to modeling separately the potential time …

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …