volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

/USD Wechselkurs mit experimentellen Prognosen von Studenten für eine simulierte Zeitreihe verglichen. Die Ergebnisse zeigen, dass sich …

Over the past few decades, many countries have experienced a marked decline in the volatility of output. However, there … is still a significant difference between developed and developing countries in the level of output volatility. A … proposed explanation for this phenomenon is the impact of economic policies on output volatility in developing countries. The …

Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …