English Abstract: To explain excess volatility frequently observed in asset markets, this paper suggests that the time … volatility clustering. Reflecting the realistic assumptions, this paper also extends the heterogeneous agent models, and … behavior causes excess volatility as well as volatility clustering, and plays an influential role in dynamics of asset prices …

English Abstract: This paper suggests a dynamic measure of intentional herding, causing the excess volatility or even … herding on market volatility tends to be stronger during the periods of turbulent markets like the degradation of U …

existence of volatility and its spillover effect. From the estimation results, we could find that the expected duration of high … 및 동시확대국면 지속기간을 분석하였다. 분석결과 상대적으로 안정적으로 평가받는 미국 등 최선진국 채권시장에서도 역시 변동성(volatility clustering)이 존재하고 분석대상 채권시장 상호 간에 서로 영향을 …English Abstract: This paper highlights the dynamics of volatility among international bond markets, Especially …

volatility spill-overs in the first and third sub-sample period since those periods have the least exchange rate flexibility …. However, this paper found that there is a strong evidence of return and volatility spill-overs in the second and fourth sub … degree of limit of daily fluctuations of RMB exchange rates. There is also more strong evidence of return and volatility …

return and its' volatility of exchange rate, bond price, and stock price. We use monthly data and estimate 3-variables GARCH … foreign exchange and stock while it does not affect bond's return. The volatility of the return of all three financial …