This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums … variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The ICSS algorithm can detect regime shifts in the volatility of the interest … forces the variance to follow the same process throughout the sample period. A comparison of the out-of-sample volatility …

between the determinants of inflation and its volatility by using monthly data for 1990:M1-2007:M5. The determinants of …

collect the statistical behavior and discuss the volatility of the series. We then analyze the evidence for the existence of …

It can be observed that the volatility of high frequency time series (daily and higher frequency) has in certain time … periods different level. The classical time series linear modelling methodology is based on condition of constant volatility … intervention from one time series to another, the level of their volatility plays very important role. It is empirically analyzed …

asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent …

a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

Connection between interest rate and foreign exchange is important because of the economic volatility of the two … aims to establish a series of characteristics regarding the impact of interest rate in exchange rate volatility. This kind …