price volatility, while price and supply equations areestimated jointly. In addition to the standard GARCH model, several … GARCH models, the quadratic NAGARCH model seems to betterdescribe producers’ price volatility, which was found to be an …This paper examines the supply response of the Greek pork market. A GARCH process isused to estimate expected price and …

factors determinatives, the persistence of shocks and asymmetry in the volatility, by means of the application of ARCH/GARCH … models. The empirical results had shown persistence reactions and asymmetry in the volatility, that is, the negative and … meio da aplicação dos modelos ARCH/GARCH. Os resultados empíricos mostraram reações de persistência e assimetria na …

. The GARCH-type persistence in volatility is reduced significantly in our nonlinear model for individual stocks with high …This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed … nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility …

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

line is that there are no direct observations or measurements of gravitational asymmetry which address the antimatter …

The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time …

low correlation of growth rates.However, this asymmetry does not mean that countries cannot move towardsiiicreation of a …

not. The last issueis whether the behavior of aggregate dividends is asymmetry. Each issue is considered inChapter II, III …