these commodities. VAR estimation reveals short-run cross-market interaction between NR and GA, and from NR to PA. Cross …-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our … findings are robust to lag-specification, volatility measure, and consistent with full BEKK-GARCH estimation results. Further …

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 …

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. …

markets for the two classes of shares. Value-at-Risk (VaR) threshold forecasts are used to analyse the importance of … information flow on the risk evaluation of a diversified portfolio. The competing VaR forecasts are analysed using the …

construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …

currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …

many developing countries. Instead we use a reduced form vector autoregression model (VAR) and show how policy simulation … results can be obtained from a fairly parsimonious VAR that can be estimated with sparse data and imposes only minimal …