The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …

positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …

At times of heightened global capital market volatility, high-yielding currencies tend to depreciate, while low …

on non-hedging more to the currency depreciation, the reduction of the risk free rates, the volatility of the FWD and …

The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries …. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … almost all countries except Thailand witnessed non-existence of volatility shocks at least once in a three year pre …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …