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 …

). 'Markov chain Monte Carlo methods for stochastic volatility models', Journal of Econometrics, 108(2), 281-316. [Available at …This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy …-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations …

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 … aims to analyze the volatility process of the return the prices of beef cattle in the State of São Paulo; examining two …

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 … impact on stock volatility following a declining market and ambiguous impact on the stock volatility following a rising …

des Marktes hindeuten:¨ Das Kreditrisiko und dessen Portfolio-orientiertes Management wird auch in Zukunft immermehr an …