This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of … this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption …

-factor model to demonstrate that the size effect exists in EREITs market. We investigate time-varying volatility for size effect by … from volatility the bond market term spread and the volatility of short-term interest rates. The unexpected shock from … fluctuation of the bond market term spread lowers the volatility of the size premia on EREITs return. We also find the big …

theory both from macro and micro perspectives; for example, the permanent life-cycle theory links long-run consumption not … financial markets, according the efficiency market theory, (see Fama, 1970), include very quickly all the information affecting … reflect the different information which have been imbedded in the housing market in the long-time. The high volatility of the …

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This … gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate … this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This … gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate … this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which …

We examine the value-at-risk where the volatility and returns are modelled via a typical GARCH(1,1) model and the …

using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF) are examined. Mixture of … Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …