) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent … structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing …This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC …

denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to …

This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By … using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The … estimation results show not only that volatilities are different between the two regimes but also that some of the cross …

we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional …

contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not … require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work …