enjoy a greater substitutability between types of inflows, and complementarity between gross inflows and outflows, than do … emerging markets, which reduces the volatility of their total net inflows despite higher volatility of the components. Capital … flows also exhibit low persistence, across all economies and across most types of flows. Inflows tend to rise temporarily …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … random walk? In our research we deal with unit root tests taking into consideration structural breaks and the persistence of … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the …

volatility dynamics, further analysis reveals that accounting for breaks substantially reduces the degree of persistence over a … implications of such breaks are numerous, in terms of volatility dynamics and forecasting and portfolio management. With respect to …, the mean to which volatility reverts is time varying; as such, failure to account for breaks will lead to severe forecast …

the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the …A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … breaks (also identifying its different kinds), determination of persistence of shocks through their structural-break free …

This paper examines the impact of capital flows on the domestic financial sector in India. Inflow of foreign capital …, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

volatility in the deviations of the international relative prices and the real exchange rate (the PPP persistence puzzle). In a …Modelling of the physical characteristics of goods and geography can explain both the puzzling persistence and ….7% of the GDP, the half-life of deviation in the real exchange rate matches the persistence found in the data. A model with …

the GARCH framework. The above two factors affect the risk-return tradeoff via volatility persistence, a parameter totally …

In our paper we use data mining to compare the volatility structure of high (daily) and low (weekly, monthly … (on our data) the theoretical hypothesis that an increase in volatility leads to a rise in future returns, mainly because …

dispersion in price stickiness reduces the persistence of inflation and, to a smaller extent, of the interest rate. It also … reduces the volatility of inflation, the interest rate and the output-gap. Thus two economies with the same average degree of …