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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Volatility Estimation and Stock Price Prediction in the Nigerian Stock Market
Mayowa Gabriel, AJAO; Mary Ugochukwu, WEMAMBU - In: International Journal of Financial Research 3 (2012) 1, pp. 2-14
This study aimed at understanding the Nigerian Stock Market with regards to volatility and prediction, to this effect … volatility. The study found the presence of volatility in all the four stock prices used, while stock price volatility was then …, only two companies¡¯ stock prices were predicted by volatility in their stock prices, while past stock prices predicted …
Persistent link: https://www.econbiz.de/10011267758
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The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model
Podivinsky, Jan M.; Cheong, Chongcheul; Lu, Maozu - Econometric Society - 2004
This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …
Persistent link: https://www.econbiz.de/10005063661
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Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market
Alverola, Ricardo - In: Lecturas de Economía (2007) 66, pp. 251-276
Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …
Persistent link: https://www.econbiz.de/10005464641
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Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis
PREDESCU, Oana Mădălina; STANCU, Stelian - In: Theoretical and Applied Economics XVIII(2011) (2011) 2(555), pp. 75-88
shows that the evolution of portfolio volatility is influenced by the effects of the current global financial crisis. …
Persistent link: https://www.econbiz.de/10008853095
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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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Japan; 2007 Article IV Consultation: Staff Report; and Public Information Notice on the Executive Board Discussion.
International Monetary Fund (IMF); International … - 2007
This 2007 Article IV Consultation highlights that Japan’s external position remains strong. Boosted by investment income, the current account surplus widened in 2006 to nearly 4 percent of Japan’s GDP, despite a shrinking trade balance. Financial outflows also picked up, reflecting...
Persistent link: https://www.econbiz.de/10011244973
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Retarding Short-Term Capital Inflows Through withholding Tax
Zee, Howell H. - International Monetary Fund (IMF) - 2000
This paper proposes a price-based measure to mitigate the destabilizing impact of the volatility of global capital …
Persistent link: https://www.econbiz.de/10005263778
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An Anatomy of Corporate Bond Markets; Growing Pains and Knowledge Gains
Luengnaruemitchai, Pipat; Ong, Li L. - International Monetary Fund (IMF) - 2005
The objective of this paper is to discuss the key issues relating to the development of local corporate bond markets. We examine the requirements for local corporate bond market development, and compare and contrast experiences across both mature and emerging markets. We suggest that core...
Persistent link: https://www.econbiz.de/10005264116
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International Capital Crunches; The Time-Varying Role of Informational Asymmetries
Mody, Ashoka; Taylor, Mark P. - International Monetary Fund (IMF) - 2002
We examine the determinants of capital flows to four developing countries during the 1990s using an explicitly disequilibrium econometric framework in which the supply and demand for capital are not necessarily equal and the actual amount of the flow is determined by the ‘short side’ of the...
Persistent link: https://www.econbiz.de/10005825608