.S. Treasury benchmarks and related debt instruments by modelling the conditional mean and conditional volatility for weekly yields … assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional … correlation coefficients indicate whether there is specialization, diversification or independence in the debt instrument shocks …

This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward …

development, an overwhelming reliance on tourism, and a consistent inflow of foreign direct investment for economic growth. SITEs … to SITEs, particularly the conditional variance (or volatility) in international tourist arrivals, have not previously … been analysed in the tourism research literature. An examination of the conditional volatility of international tourist …

multivariate models of conditional volatility. These models are able to capture the dynamics in the conditional variance, and hence …

put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk …Modelling, monitoring and forecasting volatility are indispensible to 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 …

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 …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise. …

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural … breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional … volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that …

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 …