financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …

Taiwan, and their associated volatility. Inclusion of the exchange rate and its volatility captures approximate daily and … weekly price and price volatility effects on world, US and Japanese tourist arrivals to Taiwan. The Heterogeneous … of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …

of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of … multivariate volatility models (CCC, VARMA-AGARCH, DCC and BEKK) and calculate optimal portfolio weights and optimal hedge ratios …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …