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Does money growth predict inflation? : evidence from vector autoregressions using four centuries of data

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estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …

Persistent link: https://www.econbiz.de/10014233967

Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index

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Which continuous-time model is most appropriate for exchange rates?/ Deniz Erdemlioglu; S´ebastien Laurent; Christopher J. Neely

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Persistent link: https://www.econbiz.de/10009791133

On the cross of conditionally expected stock returns

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Block structure multivariate stochastic volatility models

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Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

Persistent link: https://www.econbiz.de/10009756298

Financial development and long-run volatility trends Pengfei Wang and Yi Wen

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