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 …

(Baltijos Šalys). Pirmojoje darbo dalyje išnagrinėti apibendrinti autoregresiniai sąlyginio heteroskedastiškumo modeliai (GARCH …), kurie dažniausiai yra taikomi nestacionarių laiko eilučių prognozavimui. Aptarta GARCH metodologija, pateikiami netiesinių … GARCH modelių pavyzdžiai. Taip pat išanalizuoti metodai, kuriais remiantis galime spręsti apie pasirinkto prognozavimo …

State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which …: state space alternative to integrated GARCH processes', Journal of Econometrics, 60(1-2), 181-202. [Available at http …

Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous … generalized ARCH (IGARCH) class of models proposed in Engle and Bollerslev (1986). In the IGARCH models shocks to the conditional …-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …

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

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 …

We use bivariate ARCH specifications to model the conditional mean and stock price volatilityfor 56 takeover bids from …

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 …