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 …

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 …

serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying … spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model …

inthe market: the cyclical pattern of mean returns and the cyclical pattern of volatility inreturns.This dissertation … Africa.The phenomenon of cyclical volatility and mean returns patterns (day-of-the-weekeffect) in the South African All …. Thesewere based on Nelson's (1991) Exponential GARCH (EGARCH) models. In order toaccount for the risk taken by investors in the …

implementación de un conjunto de modelos EGARCH. En conclusión, encontramos que dos de los índices de incertidumbre temáticos (uno …

mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …